While I'd like to find her actual quote, in context,
this NBC News article shows that Sanders used the wrong data rather than lied:
WASHINGTON — White House Press Secretary Sarah Sanders said Friday that Customs and Border Protection picked up nearly 4,000 known or suspected terrorists last year "that came across our southern border."
But in fact, the figure she seems to be citing is based on 2017 data, not 2018, and refers to stops made by Department of Homeland Security across the globe, mainly at airports.
In fiscal 2017, the latest year for which data is available, according to agency data and the White House's own briefing sheet, the Department of Homeland Security prevented nearly 4,000 known or suspected terrorists from "traveling to or entering the United States."
The partisan versions of this "fact-check" arrive at the 4 or 6 figure by distinguishing between US citizens or legal residents and those entering illegally, a distinction Sanders did not make. That disingenuous distinction reduces a number in the 40s to the "reported" 4 or 6.
If DUpipo and their fellow-traveler-Progs want to argue that 40 terrorists are an insignificant number, they should make that argument to a person who lost a loved one or friend in the WTC or Pentagon.