Source, in full
His response when "accused of treating his opponents with too much courtesy and kindness, and when it was pointed out to him that his whole duty was to destroy them", as quoted in More New Testament Words (1958) by William Barclay; either this anecdote or Lincoln's reply may have been adapted from a reply attributed to Holy Roman Emperor Sigismund
Notes from Wikiquote
Some courtiers reproached the Emperor Sigismond that, instead of destroying his conquered foes, he admitted them to favour. “Do I not,” replied the illustrious monarch, “effectually destroy my enemies, when I make them my friends?” | "Daily Facts" in The Family Magazine Vol. IV (1837), p. 123; also quoted as simply in "Do I not effectually destroy my enemies, in making them my friends?" in The Sociable Story-teller (1846)