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Holder would not confirm in an interview with CNN's Justice correspondent Pamela Brown the suspected terrorist's identity or reveal whether the U.S. government knows where "Jihadi John" is -- but he insisted America will not relent in bringing to justice the man seen in ISIS videos showing the beheadings of U.S. hostages and other Westerners.

READ: ISIS militant 'Jihadi John' identified

"Whether it's through the use of our military or the use of our law enforcement capacity, if you harm Americans it is the sworn duty of every person in the executive branch to find you and hold you accountable, and we will do that," he said.

Holder, who will be leaving his post in the coming weeks, sat down for an interview with CNN at the U.S. Department of Justice headquarters Thursday in Washington D.C.

Brown pressed Holder asking, "Do you think we would go as far as to send U.S. troops to find Jihadi John and hunt him down?"

"I wouldn't put anything off the table," Holder said.

The attorney general also admitted the threat of a lone wolf attack inside the United States keeps him awake at night.

In light of a recent video urging attacks on shopping malls in the U.S. and other countries, Holder said malls should increase security to help prevent such attacks.

The video released last weekend by extremist group al-Shabaab, a group designated by the US government as a terrorist organization. The video pecifically named the Mall of America in Minnesota and appeared to be designed to inspire terrorist attacks similar to the one on the Westgate Mall in Nairobi, Kenya, two years ago in which 60 people were killed after a four-day standoff.

"I certainly think we have to step up our sensitivities to what goes on in these commercial enterprises," Holder said. "I think it would be the responsible thing for operators of these malls to increase their capabilities when it comes to keeping people safe who are just going about their everyday lives."

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Eric Holder: I'm worried about lone wolf attacks