I wondered about that in the end of the movie, it was written that the movie was filmed in Los Angeles
The outdoor locations was clearly in New York, we saw Central Park among many other outdoor scenes
I googled the name of the metro station "42 St-Bryant Pk", which also is in New York
I was coming to say the same thing. In fact...
Million Dollar Baby Academy Award® Winner for Best Picture of 2004
The film-makers often use convincers... to make you think it was filmed in New York... a few short clips, normally skylines or overhead shots of easily recognisable places such as Central Park... and then cut to the close ups... filmed elsewhere, and in this case... LA.
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