They did try recently. Somewhat. The West Side Stadium attempt. Now I'm a Jersey guy, so I'm happy they're still here, but the nyc stadium woulda been pretty cool. Think it was James Dolan (Knicks n Rangers owner) who stopped it. He wanted a monopoly on indoor city sports/events.
Can't beat outdoor and in Jersey, but an indoor stadium in NY would've been pretty damn fun. Tailgate on the Jersey side, take the ferry over and have the city bars/restaurants as well (like Yankee Stadium and I imagine Fenway).
Was a pipe dream though. There would've been two multi-billion dollar stadiums under 10 miles apart.