New York might be the biggest American target for terrorists outside of the White House, but that in itself isn't a reason not to live here. Living in fear contradicts the freedom of expression and pursuit of happiness that the Big Apple has come to embody. Not to mention, the city takes threats extremely seriously and prides itself on keeping its citizens safe.
If a New Yorker wants proof, they can just look out the window. During holidays and times of heightened security, it's become routine to see soldiers and police casually strolling the streets and subway terminals with full body armor and M-16 assault rifles. Almost daily, drills are being conducted with full response teams in Hazmat suits using blaring sirens and LED police lights seemingly intended to burn out Al-Qaeda's retinas.
Awareness and presence is the name of the game when it comes to Homeland Security, and it's something every resident has to be prepared to handle. To say that New York City is a police state would be an overstatement. To say that you'd be living in a live-action version of Halo might not be.