This is a rush transcript from "Your World," February 28, 2018. This copy may not be in its final form and may be updated.

NEIL CAVUTO, "YOUR WORLD" HOST: All right, the president making it very clear he's still not too pleased with his attorney general.

The question I have is why the attorney general still stays on. Apparently, we're getting reports that he had offered his resignation a couple of times. The president has either declined it or they thought better of it. Whatever the case, it's an awkward relationship.

What is it about that job, the pressures or the conundrum right now it has put Jeff Sessions in?

Let's ask a fellow who held that job, the former attorney general for President George W. Bush, Mike Mukasey.

General, very good to have you.

MICHAEL MUKASEY, FORMER U.S. ATTORNEY GENERAL: Good to with you.

CAVUTO: What was it like working for President Bush? Did he ever have differences with you? Did he ever publicly say anything bad about you?

MUKASEY: We had a couple of differences. He never publicly said anything bad about me.

We -- whatever differences we had were resolved internally. He was, after all, the president. I lost a couple. I won a couple.

CAVUTO: Did they get heated? Did you ever offer to resign?

MUKASEY: No. No, not nearly.

CAVUTO: OK.

MUKASEY: Not nearly.

CAVUTO: What do you think of this relationship? What is going on here?

MUKASEY: Look, I'm not -- I'm not an expert on relationships. I'm a lawyer, not a psychologist.

CAVUTO: All right. But when the president is constantly second-guessing you -- and it might be his right -- it might just still be burnt and angry about the attorney general recusing himself.

But it has never, never calmed. And this latest opinion of the president about the way Sessions handled this whole FISA thing, what did you think of that?

MUKASEY: I think it's wrong.

CAVUTO: Who is wrong?

MUKASEY: The president is wrong. And he doesn't know his own interests.

CAVUTO: Explain.

MUKASEY: The fact is that the I.G. is the person who should investigate this.

CAVUTO: The inspector general.

MUKASEY: Yes, the inspector general is the person who should investigate this.

CAVUTO: Even though the president says, oh, that's an Obama guy.

MUKASEY: Obama guy, my foot.

He was there in the George W. Bush administration. He was an Obama appointee, but he's straight as the edge of that table. He's a serious person who investigates things on the merits. And he's investigated other things on the merits that he will conclude when he concludes.

Mike Horowitz is a suburb I.G. And I think pretty much every responsible person understands that.

CAVUTO: We don't want to get into machinations of...

MUKASEY: I mean, there's no...

CAVUTO: Go ahead.

MUKASEY: You don't -- you conduct an investigation of the sort that the president was talking when there's evidence of a crime. There isn't.

So, there's no crime to investigate. The I.G. is the person to investigate whether rules and procedures were followed. If he unearths something that smacks of criminality, there will be plenty of time to investigate it.

CAVUTO: OK.

Now, let's say he were to leave. That is, Jeff Sessions were to leave, for whatever reason, I can't deal with it, or he's forced out.

MUKASEY: He has job -- if there's anybody in this world who has job security, he is a person who has job security, because the person who would succeed obviously is Rod Rosenstein.

CAVUTO: Right.

MUKASEY: Right.

(CROSSTALK)

CAVUTO: And finding a successor, a permanent one, would take a long, long time.

MUKASEY: I will say.

CAVUTO: Yes.

So, the legal fallout from this back and forth, it's generally never advisable to have a public dispute. But do you know at the Justice Department how this is all falling out? Is it a big deal? Are they used to it? What?

MUKASEY: I don't know for a fact, because I'm not there.

I can't imagine that it helps morale to hear about squabbles going on at the department where you work. But I think that the attorney general and the people who work at the department who are serious-minded people do on a daily basis what they should do, which is to keep their heads down, do their jobs, and try to call things the way they see them.

And as far as I know, that's what's doing on at the department now. Certainly, that's what Jeff Sessions is doing.

CAVUTO: You know, General, I think it's probably one of the toughest Cabinet positions, the attorney general, because, though you're appointed by the president, you serve the people, as do all Cabinet secretaries.

But the legal issues come to the fore when the president doesn't think that you're necessarily serving his interests and you're -- you're acting against those interests. How did you handle that? What did you -- just about your day-to-day handling of the job?

MUKASEY: I handled it by responding and making my case. And, as I said, I won a couple, I a lost a couple.

If the president tells you to do something, and it's within the limits of the law, even if you think it's bad policy, you do it, because the president sets policy.

If you think it's outside the limits of the law, and the president tells you do it, you say no. And either the president fires you, or you leave. But I don't think that we're at that point with Attorney General Sessions.

I think what is going on, of course, is this public criticism, which I don't think is good for anybody.

CAVUTO: Why does it continue, though? Would you put up with that, if it were you? Just -- I know it's different with President Bush.

MUKASEY: I can't...

CAVUTO: Would you put up with that?

MUKASEY: I can't put myself in Jeff Sessions' place in this administration.

This is very different from what it was like when I was there. If the president had said something about me in public of the sort that this president has said about Jeff Sessions, it would indicate deep dissatisfaction.

CAVUTO: And you would offer your resignation?

MUKASEY: Yes, of course. I would have taken it to heart.

But it would have been preceded by a great deal that I don't think preceded this.

CAVUTO: A lot have said that this president, he is new to the job, doesn't know even about maybe the role of an attorney general, that he was trying to be -- you know, do anything illegal or anything else, but he had read into this loyalty, this is all about loyalty to the president.

How do you juggle that as attorney general of the United States, appointed by the president of the United States, serving for the president of the United States, serving the United States?

MUKASEY: Look, the A.G. is a member of the administration. So, he's got to follow the policy of the administration.

But his job is to advise the president on what the limits are of the law, what the law allows at both ends. And then the president makes the choices between those limits. I think President Bush well understood that.

And the notion that somehow the A.G. is the president's lawyer is wrong. The president has lawyers. He's got White House counsel.

CAVUTO: But on this issue, where -- on this issue, where Sessions decided, I'm going to have an I.G. look into -- handle this whole thing, and the president was ticked off about it, you're saying that Sessions was within his rights, this is the right route to take?

MUKASEY: It's the right route to take. It's also the correct route to take. It makes a lot...

CAVUTO: As it was back in the very beginning, when he recused himself.

MUKASEY: Right.

CAVUTO: That he was in the legal right there, two actions that the president deems unacceptable.

MUKASEY: Right. The answer to that is, tough.

CAVUTO: OK.

Attorney General, very good seeing again.

END

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