Maybe because the Constitution say so? Unless you can point out where the Constitution grants the AG with power over the President, I will go with Trump's assessment. The problem with the AG being omnipotent is they can protect their criminal compatriots with no way to stop them. The power to pardon offers no protection against the power to excuse from Justice. To think the President has no power to prosecute or recommend prosecution is absurd.
Scroll down and read what a Chief Justice of the Supreme Court wrote when he was AG about the Andrew Jackson Jewel Saga...
So yes I can point to something. SOmeone with more knowledge of the Constitution than you.