Dianne Feinstein, the panel's top Democrat.
The Attorney-General cited what he claimed was a Justice Department policy to keep conversations with the President confidential, but critics say no such policy exists.
Trump brushed aside Holt's question about the timing of the firing, which raised eyebrows coming as it did while Comey was overseeing an investigation into possible Trump campaign collusion with Russians who meddled in the election. Richard Burr and Mark Warner, the Republican and Democratic leadership of the Senate intelligence committee Wednesday.
Sessions' determination to mount a vigorous rebuttal after Comey's testimony before the committee last week raised questions about the administration's conduct was clear from the moment he began his opening statement. He also discussed his agency's budget.
Trump appeared to be a responding to a Washington Post report that special prosecutor Robert Mueller "is interviewing senior intelligence officials as part of a widening probe that now includes an examination of whether President Trump attempted to obstruct justice, officials said".
Mr Mueller was appointed special counsel after Mr Comey's firing.
Sessions appeared before the Senate intelligence committee as part of its investigation into possible ties between Trump campaign officials and Russian Federation.
Idaho Senator Jim Risch was among the Intelligence Committee members who questioned Attorney General Jeff Sessions Tuesday.
During dramatic testimony before the U.S. Senate Select Committee on Intelligence, James Comey, the former Director of the Federal Bureau of Investigation and the nation's top law enforcement official, called President Donald Trump a liar five times and told 17 U.S. senators and the nation, that he was uncomfortable being in a room alone with him.
Special counsel expands inquiry to probe Trump for obstruction of justice
Sessions cited a Justice Department policy which blocks officials from testifying about private discussions with the President. Of the six in 10 Americans who think Trump tried to obstruct or impede the investigation, most are Democrats and independents.
A day or two later, Trump called Coats, and also Rogers, and asked them to say publicly that there was no coordination between Russian Federation and the Trump campaign.
The Wall Street Journal later confirmed that Mueller was investigating to determine if Trump's firing of Comey was part of an effort to influence the Russian Federation investigation.
"Nice", Trump tweeted Thursday morning.
- Donald J. Trump (@realDonaldTrump) June 15, 2017You are witnessing the single greatest WITCH HUNT in American political history - led by some very bad and conflicted people!
The probe by special counsel Robert Mueller, a former FBI chief, "marks a major turning point in the almost year-old FBI investigation, which until recently focused on Russian meddling during the presidential campaign and on whether there was any coordination between the Trump campaign and the Kremlin", The Washington Post reported.
The Post previously reported these exchanges, including that Trump's request was doubly denied.
The report, which cites five unnamed officials, states that the investigation into Mr Trump began after FBI director James Comey was sacked by the president on May 9th. Comey told Congress last week that he believed he was sacked "because of the Russian Federation investigation".
And Deputy Attorney General Rod Rosenstein on Tuesday said he couldn't talk about firing Comey - because it's something Mueller might be investigating. But Jim Comey testified that he was the person that first requested a private meeting with the president on January 6.
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