It does not necessarily mean anything specific. It could be nothing more than the fact that your employer didn't send New York a copy of the W-2, or that the copy they sent was somehow garbled or unreadable and they wish to verify it. While your information does get sent to them, they don't receive actual copies of the forms from you unless they request them. If you are concerned about the request, there should be a telephone number on the letter that you could call to ask for more information about this issue.
I also received a letter, two weeks after filing. I submitted the information online, as they suggested. I hope it is nothing more than the original answer.
Interestingly, I got two letters in my mailbox, one of which was for my next door neighbor. Maybe they are doing a random screen by address.