Pulitzer Prize-winning journalist and undocumented immigrant Jose Antonio Vargas joined Megyn Kelly tonight to discuss the sanctuary city policy and his new documentary film.

Vargas told Kelly that he thinks people need to understand that Kate Steinle's murder could have been prevented if the U.S. Immigration and Customs Enforcement (ICE) issued a warrant for her killer's arrest. 

He said that sanctuary cities help immigrants "who can report to police."

However, Kelly told Vargas that "the law is the law, and fidelity to the law is what binds us together.”

Vargas said that he agrees with Kelly about something needing to be done to fix this problem. 

"But I think the dangerous thing here though Megyn, is that this man does not represent all ... 12 million undocumented immigrants like me," he added.

Vargas also shared that he made the new MTV documentary film called "White People" to give people a chance to air out how they feel. 

"Whenever we talk about race in this country, we are walking on so much political correctness, that young white people don't really know what to say," Vargas stated. "Nearly four out of five young white people say that they are uncomfortable talking about race." 

Watch "The Kelly File" video clip above to hear more. 

Megyn Kelly: 'There's No Excuse' for Obama's Silence on Kate Steinle's Murder

'White People': Controversial MTV Documentary Addresses White Privilege, Racial Bias