Bill De Blasio, who led Clinton's Senate campaign in 2000, eventually endorsed her.
Sanders said there are states that still need to be heard from in the primary.
Sanders invited two undocumented immigrants on stage in Kentucky.
The win helps him gain ground as he tries to keep Clinton from clinching the nomination.
Sanders is speaking to supporters in Louisville, Ky.
A new poll puts Clinton ahead by 10 points in California.
“Well, that is one way to phrase it,” Sanders said approvingly.
Sanders will speak in Washington, two days before Indiana's primary.
"The problem is that the Democrats are losing elections,” he said.
"You need somebody that has the moral judgment beforehand, not when it’s safe."