I'm not sure to what group of people he is referring - normal Muslim immigrants from non-war zones just relocating to the US? Refugees?
If he is referring to refugees, this is unlikely, as these are screened extensively before admitted to the US:
FACT: All refugees of all nationalities considered for admission to the United States are subject to the highest level of security checks of any category of traveler to our country, involving multiple federal intelligence, security and law enforcement agencies, such as the National Counterterrorism Center, the Federal Bureau of Investigation, and the Departments of Homeland Security, State and Defense, in order to ensure that those admitted are not known to pose a threat to our country. The safeguards include biometric (fingerprint) and biographic checks, and an interview by specially trained DHS officers who scrutinize the applicant’s explanation of individual circumstances to ensure the applicant is a bona fide refugee . Mindful of the particular conditions of the Syria crisis, Syrian refugees go through an enhanced level of review.
Therefore only a small number of admitted refugees have any ties to terrorism:
A State Department spokesperson said of the nearly 785,000 refugees admitted through the U.S. Refugee Admissions Program since 9/11, “only about a dozen — a tiny fraction of one percent of admitted refugees — have been arrested or removed from the U.S. due to terrorism concerns that existed prior to their resettlement in the U.S. None of them were Syrian.”
If he's referring to normal, non-refugee immigration, this becomes harder to analyze for a layman - but in my opinion it's worth bearing in mind that only a small (6% from 1980-2005)
fraction of terror attacks are carried out by Muslims (the FBI data is slightly outdated, but less comprehensive, more recent data from the New America Think tank suggests the same - 9 Jihadist attacks vs. 18 by right wingers (due to the one large recent outlier, the Jihadist attacks have killed many more though, which, in my opinion, does not change the point.)
Data from the EU suggests that the low percentage of Islamic terrorism is not limited to the US, and instead applies to the Western world in general- if you look at the numbers from the linked Europol report, in 2015, only 17 out of 211 attacks in the EU were carried out by Islamic terrorists.
All suggests to me that the 'Muslim terrorist' phenomenon is disproportionately overplayed in the media and by politicians, and therefore this statement is likely to be completely false.
As a further indicator, to back up JasonR's comment about Trump's rather pragmatic relationship with the truth, apparently only 9% of his statements are factually true.