Although you can find thousands of sites that attribute that quote to him, in reality he never said that. He was being interviewed about a terror attack in New York City and he said that part and parcel of running a big city is that you always have to be vigilant, then he went on to praise the responders of NYC. In true Internet fashion his words were twisted around and spread worldwide. It doesn't take much searching to find the actual interview.
Mayor Khan says plenty of stupid things on his own. No need to make stuff up.
Thank you!! In the face of goodness-know-how-many times (1000? Certainly 100s) the misquote has been repeated here, those of us who from time to time try to point out the misquote feel pretty lonely, so it’s really welcome to have occasional reinforcements!