Hannity addressed the governor and said that he will take his money and business elsewhere.
"Gov. Cuomo, I'm going to leave and I'm taking all of my money with me – every single solitary penny," he said. "And by the way governor, because I work here – there's a whole bunch of people that work for me and benefit because I do two shows. And I guess maybe some of them will be out of work, governor. I'm sure you'll take care of them."
Cuomo's office sent out a statement Saturday clarifying that the governor did not mean to say conservatives were not welcome in New York, but rather that "extreme" conservatives could not win elections there.
Hannity, however, is already weighing his options for a new location.
"I haven't decided yet, but I'm leaning Florida because I like the water and I like to fish," he said Monday.
Hannity would not be the first conservative radio host to ditch New York. Rush Limbaugh and Glenn Beck both left the state for Florida and Texas, respectively.