Lloyd Blankfein, head of the US investment bank for over a decade, asked Mrs May where financial services ranked in her top three priorities for Brexit, according to the people.
"Blankfein talked tough," said one of the people. "He said there was no reason why European financial centres can't set up as effective rivals."
The Goldman boss mostly asked questions of Mrs May, and delivered them in a light-hearted way, the people said. Despite the cordial mood, some Wall Street bosses in the room detected a deeper concern about the UK's position in Mr Blankfein's comments. "There was a particular exchange between them," said one person.
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Goldman was one of the biggest donors to the Remain campaign in last June's referendum and employs about 6,000 staff in the UK, its main European operation. Mr Blankfein has expressed bemusement to colleagues over how Mrs May appears to treat finance like any other industry, despite its major contribution to the UK economy and its exchequer.
Bankers looked on enviously in October when Mrs May gave Nissan a guarantee that its terms of trade would not be hurt by Brexit, winning a commitment from the Japanese carmaker to expand production at its plant in Sunderland.
Mrs May's meeting with Wall Street executives came only hours after her address to the Davos elite, outlining plans for the UK to "step up to a new leadership role" in the global economy after Brexit and remain a "great global trading nation".
Some foreign bank bosses were still reeling from an earlier speech by her in London, in which she confirmed for the first time that the UK would not be staying in the EU's single market or customs union. City bankers fear this outcome could cut them off from EU clients.