U.S. and Canadian law may be different, but since no one else has responded I'll wade in.
It depends on the relationship. Generally speaking, an employer owns the rights to anything an employee produces. For example, a newspaper owns the rights to all the photographs taken by its staff photographers. Or, as another example, if you work for a university and you take pictures at a conference sponsored by that university they own the pictures.
Contractual relationships are different and governed by the contract. For example, most wedding photographers are not "employees" of the couple getting married, they are instead selling their services to a client. The client only owns whatever the contract states.
Confusion and conflict comes in when there is no explicit contract or agreement. That's why it is best to always have everything understood up front.
Without knowing the specifics of your situation, it's not possible to sort this out. But, there wouldn't be any automatic ownership granted to an event sponsor, unless specifically stated in the agreement or terms under which you are shooting. In this case, it sounds like the event sponsor is essentially saying that if you do shoot the event, they own the rights to the photos. The implication is that if you accept the assignment, you are also accepting those terms.
You need to talk to the event sponsor and come to agreement with the terms, otherwise, if you accept the assignment and they have notified you that they believe they have the rights to the photos, you may have unwittingly agreed to a contractual relationship that you didn't intend.