The boy band was in the middle of a concert Thursday when Knight, who has previously been vocal about his struggle with anxiety, began acting abnormally.
"I noticed from the front row that Jonathan Knight seemed out of it," wrote HollywoodLife.com blogger Emily Longeretta.
"While the men started their choreographed dances, Jonathan stood uncomfortably in the background -- actually just standing and texting on his phone during the performance," she said.
During a rendition of "Survive You," Knight walked off the stage, CNN reported.
The rest of the five-member group kept performing as fans chanted for Knight's return -- but he never came back.
Knight later appeared to offer fans an apology on Twitter, saying "I'm sorry......"
Earlier in the day, before the concert, he tweeted the hashtag "I feel naked," perhaps indicating his emotional state that led to his behavior that night, the report said.
Bandmate Donnie Wahlberg took to Twitter to address the New York performance.
"Joe was especially dazzling! Jordan was especially amazing! Danny was especially solid & Jon was especially shy! #Allsystemsnormal," he said.