I think possession of lockpicks is illegal in NYC as well. Though I doubt they're enforcing that rn
This is also why urbex communities reccomend not bringing picks while exploring places, as they'll bring more trouble than its worth if you're caught.
Never ever have anything that could be construed as a weapon or burglary tool. Even if all you did was walk through an open door it makes it far too easy to build a case for breaking and entering, instead of much milder trespassing.