The new 290,000 sq km (112,000 sq mile) sanctuary brings the number in the South Pacific region to 11.
Tokelau's leader, Foua Toloa, said South Pacific countries had a "common responsibility" to protect its whales.
The sanctuary will have no immediate impact on whaling, but conservationists say it will strengthen the 1986 worldwide moratorium on whale hunting.
"Tokelau's decision to declare its exclusive economic zone a sanctuary for whales is based on our firm belief that we share a common responsibility in the Pacific for the protection of these species," Mr Toloa told a meeting of the South Pacific Whale Research Consortium in New Zealand.
"Whales don't recognise national boundaries and Tokelau would be remiss if we failed to support our Pacific island neighbours in the quest to help recovery of the whales in our region."
Scott Baker, a US member of the consortium, said the establishment of the sanctuary sent "a very strong messages to the global community and particularly to the whaling nations that they are in a minority".
Commercial whaling has been frozen by an international moratorium since 1986, but some 3,000 whales are killed every year by Norway, Japan and Iceland under loopholes in the legislation.
Japan kills several hundred whales each year for what is termed scientific research. Most of its hunting takes place in the Southern Ocean whale sanctuary in the Antarctic.
Tokelau's territory is just 12 sq km (4.7 sq miles) and lies halfway between Hawaii and New Zealand.
It has a population of 1,500 and has been administered from Wellington since 1926.
