The crack was a dig at Trump, who said earlier this month in a tweet amid concerns about his mental fitness that he is a "very stable genius".
Mr Khan said "Londoners have made it clear that Donald Trump is not welcome here" following the President's recent comments about "shithole" countries.
British Foreign Secretary Boris Johnson fired back at Khan on Twitter, saying on Friday that he would "not allow US-UK relations to be endangered" by the London Mayor, whom he referred to as a "pompous puffed up popinjay in City Hall".
The mayor sat as the moderator stood and tried negotiate with them to stop.More news: Cubs agree to deal with Justin Wilson
Sky News political correspondent Laura Bundock said the protesters had been sitting "right at the front of the room", and delayed the start of Mr Khan's speech for 15 minutes.
The group told ITV News' Paul Brand that they were called "White Pendragon" and thought the Fabians were "subverting society".
Khan added: "The US has got a special relationship [with Britain]". One shouted: "We are the sovereign people of this land!" Many of us love America. The new building was the most advanced U.S. embassy in the world and "did not cost the U.S. taxpayer a cent", he said, being financed by the sale of the old site and other London properties.
Kassam remarked on the campaign against Trump by the political figures ahead of his anticipated visit: "Sadiq Khan as the mayor of London has really been tubthumping, trying to get President Trump not to attend".
Trump said he abandoned his plans to visit the United Kingdom as he is "not a big fan of the Obama Administration" selling off the previous embassy and building a new one in an "off-location". Many speculated - including Khan - Trump cancelled his trip following talks of mass protesters taking place during his visit.