Cohen's attorney, Lanny Davis, said on Twitter that his client on Thursday made a decision to return to the Democratic party, explaining it was "another step in his journey" and part of his "distancing himself from the values of the current" administration.
Cohen was formerly a registered Republican.
The president commented that Pennsylvania was considered the state that Republicans always tried to win in presidential elections, reminding supporters that they helped him win the state.
Last year, he had changed to Republican when he agreed to serve as the GOP's deputy finance chair.
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Cohen pleaded guilty in August to eight federal charges, including tax evasion, bank fraud and campaign finance violations.
He since has cooperated with special counsel Robert Mueller's investigation of Russian interference in the 2016 election. Cohen testified in federal court that Trump had directed him to pay off two women with whom he allegedly had extramarital affairs. He also said he did so specifically to influence the outcome of the election.
The reference was to ABC's George Stephanopolous, who interviewed Cohen three months ago. It's unclear when the interview would air.