Eukaryotic gene expression is heavily regulated at the transcriptional and post-transcriptional levels. An additional layer of regulation occurs co-transcriptionally through processing and decay of nascent transcripts physically associated with chromatin. This process involves RNA interference (RNAi) machinery and is well documented in yeast, but little is known about its conservation in mammals. Here we show that Dgcr8 and Drosha physically associate with chromatin in murine embryonic stem cells (mES), specifically with a subset of transcribed coding and noncoding genes. Dgcr8 recruitment to chromatin is dependent on transcription as well as methyltransferase-like 3 (Mettl3), which catalyzes RNA N6-methyladenosine (m6A). Intriguingly, we found that acute temperature stress causes radical relocalization of Dgcr8 and Mettl3 to heat-shock genes, where they act to co-transcriptionally mark mRNAs for subsequent RNA degradation. Together, our findings elucidate a novel mode of co-transcriptional gene regulation, in which m6A serves as a chemical mark that instigates subsequent post-transcriptional RNA-processing events.