Gendron, 18, is accused of shooting dead 10 people at a supermarket in the US city on Saturday.
Mr Khan was reportedly described as a “Muslim invader” under a page entitled “Kill high profile enemies” in a 180-page manifesto published online by Gendron.
The London Mayor said: “It’s heartbreaking to see 10 innocent people have lost their lives at the hands of this white supremacist, this terrorist. Others have been injured.
“My key response is to make sure that we respond by showing that our diversity is a strength, not a weakness.
“We’re not going to allow this terrorist or others like him to make us cower.”
Sadiq Khan visited the US last week
Stefan Rousseau
Sadiq Khan in London on Monday
Aaron Chown
Asked if he felt safe in his role, Mr Khan replied: “It’s been on public record that I receive police protection.
“It’s unfortunate but it’s a fact of me being the mayor.
“I’ve been incredibly safe because I’m looked after by dedicated, decent, brave police officers.”
The suspected Buffalo killer is thought to have published the online manifesto identifying himself as a white supremacist, citing “high-profile enemies” before his attack.
The suspect also listed Turkey's President Tayyip Erdogan and billionaire philanthropist George Soros.
Gendron cited the Rotherham grooming gang cases to justify his white supremacy and racist ideas, claiming European women were being raped en masse.
Mr Khan was in the US last week to bolster tourism in London, visiting New York, Los Angeles, San Francisco and Silicon Valley.
He has spoken about receiving more racist abuse when Donald Trump was US President.
The billionaire politician called Mr Khan a “stone-cold loser” and repeatedly criticised his record on crime.