"The fact that this appears deliberately targeted at the recruiting station insults every one of our brave men and women in uniform stationed around the world," Bloomberg said in Times Square.
Local reports quoted a witness as saying a passer-by had thrown an explosive device although police would not confirm the account.
A woman in a nearby building heard a "huge bang" and came down to investigate but was kept back by police.
The building is on a traffic island between Broadway and Seventh Avenue in Times Square.
It has frequently been the focus of demonstrations against the US-led military action in Iraq and Afghanistan.
Captain Charley Jaquillard, who is in charge of US army recruiting in Manhattan and works in the centre, said nobody was in the building when the explosion occurred.
Police said the streets in the area would remain closed until the investigation was complete.
New York has been on a heightened state of alert since the attacks of September 11, 2001, when hijackers crashed two passenger jets into the World Trade Centre, killing nearly 3,000 people.