"I don't have an attorney general," Trump told The Hill in an interview. "It's very sad."
The president has been angry with Sessions for more than a year, after the former Alabama senator recused himself from the investigation into Russia's attacks on the 2016 election and potential links between the Trump campaign and the Kremlin.
Because Sessions recused himself, oversight of the Russia probe fell to Deputy Attorney General Rod Rosenstein. After Trump fired FBI Director James Comey in May 2017, Rosenstein appointed Robert Mueller as special counsel in the investigation, which the president has repeatedly attacked as an illegal "witch hunt."
But Trump's dissatisfaction with the attorney general has grown beyond the Russia probe, in tandem with increasing speculation that he could soon fire Sessions.
In his interview with The Hill, the president said he wasn't happy with Sessions over "numerous things," including how the Justice Department has handled the border. Sessions, like Trump, is an immigration hard-liner, and has been cited as one of the most effective Cabinet members at implementing the president's policies and initiatives.
While the conservative, nationalist Trump base has applauded the administration's actions on immigration, the Trump White House has received bipartisan criticism for its tactics, particularly the "zero tolerance" policy that separated immigrant children from their parents at the border. Sessions announced the policy in April, and Trump signed an order to halt it in June after widespread public outcry.
A spokeswoman for the Justice Department declined to comment to CNBC on Trump's comments to The Hill.
Sessions was the first senator to endorse Trump during the 2016 election, and acted as a campaign surrogate. Trump, in his interview with The Hill, suggested his loyalty to Sessions impaired his judgement when he nominated the veteran politician and former federal prosecutor to lead the Justice Department.
"I'm so sad over Jeff Sessions because he came to me. He was the first Senator that endorsed me. And he wanted to be Attorney General, and I didn't see it," Trump told the media outlet.
The president did not say whether he would fire Sessions, but he did say he was "very disappointed" in the attorney general and that "we'll see what happens."
On Wednesday morning, when asked by reporters whether he is thinking about firing Sessions, the president said he is "looking at lots of different things."