The band played a rooftop concert on top of the Skylight West skyscraper on Monday night to celebrate the 40th birthday of designer fashion label Mulberry.
However, the rock five-piece were warned by police on two occasions to keep the noise level down "or else", reports The Sun.
Guitarist Serge Pizzorno explained: "The police came up twice to tell us to turn it down. The second time they didn't look so happy. I think the owner turned it up."
Frontman Tom Meighan added: "NYPD at a Kasabian gig? It was a first for us.
"We played the Ghostbusters theme before we came on. Our hotel is just around the corner from where they had their HQ with the fireman's pole. It was pretty big."
Kasabian will release their fourth studio album Velociraptor! on September 19.
> Kasabian add three more dates to UK arena tour
Watch the music video for Kasabian's new single 'Days Are Forgotten' below: