To be certain, you would have to ask the state that question. In most cases, W-2s are requested for a couple different reasons. The most common is that the issuing companies did not send NY their copy of the W-2 as they were required to do.
Another common reason is because the numbers for W-2 income or state tax withheld on your tax return do not match with the amounts shown on the W-2s the state has for you. They can't tell if they are missing a copy of a W-2 or your entries are incorrect.
In any case, comply with the request within the time frame of the notice.