He said Cohen reached out to him after being contacted by Keith Davidson, an attorney representing the woman, and said he retained Trump's lawyer "after he informed me about his prior relationship with Mr. Davidson".
Cohen is "being investigated for criminal conduct that largely centers on his personal business dealings", Thomas McKay, an assistant USA attorney, said in a court filing.
A federal judge had asked Cohen to reveal his client list after he argued that material seized by FBI agents during a raid of his office and residences last week was privileged. On Friday, US District Judge Kimba Wood demanded Cohen appear on Monday - creating a frenzy of reporters outside the courthouse in lower Manhattan.
It's unclear how today's revelation will affect Hannity's coverage of Trump and Cohen going forward.
They called the Federal Bureau of Investigation raids on Cohen's home, office and hotel room "an operation disquieting to lawyers, clients, citizens, and commentators alike", and repeatedly referred to their client, whom they represent in a personal capacity, as "the president".
18:44Three Policemen Injured in Clashes With Protesters in Yerevan
On the same day, protesters led by Pashinyan seized the building of Armenia's Public Radio for around an hour. Several protests loosely organised around the slogan "No to Serzh", have been held since March.
Hannity had called out Smith last month, saying the Shepard Smith Reporting host is "clueless" about what his nightly FNC show Hannity does, putting some barbed wire atop the much-proclaimed wall between opinion and reporting at Fox News.
The letter says that from 1996 to 2006, Cohen had hundreds of clients, adding that he did not know if any material from those old clients were in the seized files.
A lawyer for Mr Trump, Joanna Hendon, asked in a filing on Sunday to be allowed to review documents that in any way relate to the president, which she described as being seized amid a "highly politicised, even fevered, atmosphere". Earlier, Cohen's lawyers suggested there could be thousands or millions of documents covered by attorney-client privilege.
President Donald Trump's personal attorney has been forced to reveal that one of his clients is Fox News host Sean Hannity, CBS News' Jeff Pegues confirmed Monday. Another was a Republican fundraiser who admitted to paying a former Playboy model after she became pregnant during their affair.
Cohen's lawyers argue that if the court appoints a special master to oversee the issue, "that legal client would allow their name to be disclosed to the special master". Special Counsel Robert Mueller is separately examining possible ties between the Trump campaign and Russian interference in the 2016 election. Cohen has long described himself as an attorney for Trump but has for years filled a more wide-ranging role as a general troubleshooter.