No, Bill Murray does not have a known residence in New York.
The actor, famous for his ties to Chicago (where he grew up in Wilmette) and his long-standing connection to Martha's Vineyard, Massachusetts (where he has owned property and is a familiar local figure), has also lived in Malibu, California. However, despite frequent visits for SNL, film premieres, and appearances, he has never been documented as maintaining a permanent or part-time home in New York City or State.
His primary bases have historically been the East Coast (Martha's Vineyard) and West Coast (California).