Pope Benedict has called on immigrants to respect the laws and national identity of their host countries.
He said that every country had the right to regulate the flow of migration and immigrants had a duty to integrate.
The Pope's comments are likely to add to the Europe-wide debate about integration of foreigners.
The Vatican traditionally identifies with migrants and refugees and recently criticised France for deporting 1,000 Roma (gypsies) to Romania and Bulgaria.
During the summer, about 200 camps were dismantled.
The policy aroused a sharp response from the EU and prompted the Pope to tell French pilgrims they should "accept legitimate human diversity".
More recently, he met French President Nicolas Sarkozy in what was seen as an attempt to repair relations.
German Chancellor Angela Merkel has also entered the debate on immigration, arguing that attempts to build a multicultural society have "utterly failed".
Like the pope, she called on immigrants to do more to integrate.
In his message to mark the Roman Catholic Church's World Day of Migrants and Refugees next January, Pope Benedict said there should be "one family of brothers and sisters in societies that are becoming ever more multi-ethnic and intercultural".
Archbishop Antonio Veglio, head of the Vatican's migration commission, told a news conference that it would be "ideal" if every government had a policy of "integration, of multiculturalism, a positive approach to immigrants... which is missing at the moment".