"The truth is that London will always remain a key partner for Brussels and every European nation long after Brexit is resolved," Mr Khan, who campaigned in favour of Britain staying in the European Union, said in a speech in Brussels.
A day before British Prime Minister Theresa May sends a letter formally notifying Brussels that Britain plans to leave the bloc, Khan called on European leaders not to punish Britain for Brexit and noted positive first signals.
"I see no evidence during the meetings this morning and yesterday of any wish on the part of the European Union to punish the UK or our citizens for the position taken last June," he said in a statement after meeting European Parliament President Antonio Tajani.
Khan was also due to meet European Commission President Jean-Claude Juncker and European Council President Donald Tusk.
Khan said a bad Brexit deal would cut the European Union off from its only truly global financial centre and risk financial services companies heading to New York, Singapore or Hong Kong.
A former human rights lawyer, the first Muslim mayor of a major western city said it would be the "perfect gesture of goodwill" if May provided a guarantee that EU citizens could remain in Britain.
The referendum was held weeks after Khan, a member of the opposition Labour party, beat the mayoral candidate of May's Conservatives by a record margin to secure the biggest individual mandate in British political history.
"Of course, I urge the EU to do the same for British citizens living elsewhere in the EU," Khan, himself the son of Pakistani immigrants, said.
Khan has launched a "London is Open" campaign to remind people that despite Brexit, London remains welcoming to foreigners and businesses alike.
(Editing by Philip Blenkinsop and Catherine Evans)
(This story has not been edited by NDTV staff and is auto-generated from a syndicated feed.)