I believe it is New York City. Yanks, Mets, Jets, Giants, Knicks, Rangers, Islanders, Red Bulls. California however, has the most pro sport teams for a state.
If you are asking for NFL, then it is 32 teams. In NHL, there are 30 teams(6 of them in Canada, 24 in USA). In MLB, there are 30 teams (14 in AL, 16 in NL). In NBA, there are 30 teams.