American officials said the autheticity of the video is being checked by the US intelligence.
The video titled "A second message to America," shows the beheading of Sotloff, who is seen saying that he is "paying the price" for US intervention in Iraq.
It also threatens the life of British captive David Haines.
The news broke out during the daily White House news conference.
"I have not seen those reports today. I think that may have just happened in the last few minutes while I have been standing up here," White House Press Secretary Josh Earnest, told reporters at his daily news conference.