Look up “arcology”.

You're behind your time: en.wikipedia.org/wiki/Underground_City,_Montreal

Up to what scale do you want this thing to be self-sustained, let's say after everyone has settled in? Wastwater treatment? Energy? Food supplies? Money?

@Karl they don't have to be fully self sustaining because most cities aren't but like to make as self sustain as possible.

@BryanMcClure That makes it's a trivial architecture task, and your question becomes a bit boring. Adding a church and stadium is also a simple matter of adding more concrete.

@Karl, but is it? If so, then why is this concept unheard of in real life?

Arcologies are unheard of in real life since they are more expensive to build and run than conventional architecture (particularly since the idea of recycling outputs to become inputs is still not perfected in real life). The other issue is that since the building is fixed in size, it isn't going to be quickly adaptable to changing needs of the inhabitants.

Toronto has an underground city, too. Actually, it's a thing there are a lot of.

@WBT Well, those are mostly shopping malls.

How about cruise ships? At least they show that such a thing is definitely possible at our current tech level.

It's not an example of what you're looking for, but note that over 20,000 people work in the Pentagon. Obviously they don't live there, and I don't know what it has in the way of shopping or sports, but I think it demonstrates that it's pretty easy (in terms of existing tech, not in terms of cost) to put more-or-less continuous roofing over a heck of a lot of people and call it a single building. Of course the Pentagon does have unroofed areas within it, but that's because humans like light, not because it's an engineering impossibility :-)

Any realistic proposal to colonise Mars (or The Moon) would need to plan along these lines.

In the spirit of Underground City, Montreal, I present: Underground Atlanta

Do you need farming & food production & water collecton/recycling covered as well inside this building? A lot of answers are presently throwing out city situations which rely on food and water from elsewhere.

@dopeelgreener you are correct.

Take the Burj Khalifa and add a stadium, church, and school. Step two: be rich.

I think it would work OK unless you put Jim Carrey in it. He will definitely try to break out of it.

This reminds me of Le Corbusier's multi-purpose house with apartments, shops, restaurants and schools (wikipedia)