Speaking in Parliament on Wednesday, Bloomberg also said he remains hopeful that US President Donald Trump will reverse his controversial decision to withdraw from the Paris agreement.
The publishing magnate was speaking after a short meeting with European Parliament President Antonio Tajani.
Bloomberg, who is a UN Special Envoy for cities and climate change, told reporters that he was fully behind EU efforts to tackle climate change and repeated his strong criticism of Trump over pulling out of the Paris deal.
He said, "I still hope that he will change his mind. That would be the right thing to do on this. All opinion polls show that Americans firmly believe that climate change is happening and that they want something done about it."
He pointed out that, despite the decision, half of the coal-fired power plants in the United States had been closed, adding that he believes that natural gas is a cheaper source of energy than coal.
"People say that the benefits from renewables will be small, but I believe time will show that renewables will play a bit part of the solution in terms of tackling climate change."
In early June, after Trump announced plans to leave the global climate agreement, Bloomberg helped back a coalition of cities, states and businesses who said they remained committed to the Paris climate accord.
Bloomberg also offered to make up the $15m the United Nations stands to lose from the US pulling out of the Paris climate agreement.
At an informal press briefing in Parliament, he said that Americans should "get behind" President Trump as he is the legally elected leader of the US.
"In any case, the fight against climate change will occur at the local level because that is where energy is consumed in the air we breathe and the water we drink."
He added, "When you see the likes of Exxon Mobil leading the charge for tackling climate change and backing the Paris accord it gives you a good feeling. It shows that this agreement is the right thing to do and is also economically viable."
He was speaking alongside Tajani, who said, "Climate change is one of the most pressing global challenges that we face today. By addressing this challenge, the EU is creating new opportunities for our citizens and industry. Simply put, the US administration's decision is a mistake."
The Italian MEP added, "By working together with nations around the world, we can successfully deliver a cleaner and safer planet to our citizens."
Bloomberg is not the only US mayor to back the Paris Agreement. New Orleans Mayor Mitch Landrieu says national policy on climate change will emerge from US cities after Trump's decision.
At last week's EU summit, EU leaders and the presidents of the European Council and Commission strongly reaffirmed the EU's commitment to the deal.
They also vowed to continue the fight against climate change, pledging to swiftly and fully implement the climate deal.
Leaders stressed that the agreement remains the cornerstone of global efforts to effectively tackle climate change.
Member states will now work closely with non-state actors in the pursuit of keeping the increase in global average temperature to well below 2°C above pre-industrial levels.