The video has been "circulated and amplified" on social media by far-right groups, a spokesperson for the Mayor said.
"The Met and their counter terror experts are aware of this fake video that is being circulated and amplified on social media by far-right groups, and are actively investigating," the spokesperson said.
The fake video appears to have been removed from social platforms.
A deepfake is typically a medium in which the face or body of a person is digitally altered to make them look like someone else.
In deepfaked audio, the voice of a specific person is synthesised, to produce an audio clip that appears to show them saying something they never actually said. All this is powered by machine learning and artificial intelligence (AI).
On Friday Mr Khan was among faith leaders and senior MPs who issued a plea for calm, respect and unity ahead of Saturday, when Armistice Day commemorations and a ceasefire march in London are set to take place at the same time.
Met Commissioner Sir Mark Rowley assessed that he does not have grounds to ban the Pro-Palestine march based on the intelligence he has received.
Sir Mark said he will not rule out action if protesters disrupted remembrance events, saying the force would "protect locations and events of national importance at all costs".
More than half a million people are predicted to attend the march, one organiser suggested.
A huge policing operation is set to take place, with more than 1,000 officers being drafted in from outside forces — 778 on Saturday and 288 on Sunday.
Mr Khan on Friday called on Londoners to "pull together" and stressed that “diversity is our greatest strength”.
His call for unity comes after Home Secretary Suella Braverman accused the police of "bias" in the way they treat protests.
Consequently Ms Braverman is likely to be fired within days, senior Tory parliamentarian Lord Robert Hayward claimed on Friday.
Writing in the Evening Standard, the Mr Khan said: "Emotions are running high, but all of us — and especially senior politicians — have a duty to calm not inflame the situation."
He stressed that the Remembrance period is "rightly regarded as sacrosanct" and highlighted the capital’s global reputation for "not just tolerating people of different faiths and backgrounds, but for actively embracing and celebrating them".
On X, formerly Twitter, Mr Khan wrote on Friday: "I welcome the decision by organisers of planned protests to avoid the area of the Cenotaph.
"It is vital that the commemorations go ahead unaffected.
"For anyone thinking about ignoring conditions put in place by the police and stoking up disorder, the Met have been very clear - action will be taken.
"The police will move against anyone found breaking the law, including taking strong action against anyone committing hate crime."
He joined representatives of Muslim, Sikh, Hindu, and Jewish faiths at the City Hall Remembrance Day Service on Friday morning.
Metropolitan Police have been approached for comment.