CNN said the work -- a collection of balloons that said "BANKSY!" -- were tied to the side of a warehouse near the Long Island Expressway in Queens Thursday, but was quickly taken down.
It is unclear what became of the balloons, the report said.
Banksy described the balloons on his website as "an inflatable throw-up on the Long Island Expressway."
"And that's it," he wrote. "Thanks for your patience. It's been fun. Save 5pointz. Bye."
5pointz is a graffiti-covered outdoor art exhibit space in Long Island City, N.Y., CNN said, adding the location is facing demolition by developers.
Banksy created artworks, typically his black, spray-painted images, in public spaces throughout New York City for the entire month of October.