The victim apparently went into the water off the Coney Island Boardwalk near West 19th Street just after 7:30 a.m.
He was pronounced dead at the scene.
According to police, the victim, a man in his 30s, had been drinking with a friend on the boardwalk.
Because two duffel bags were found near the location of the body, police suspected the friend had also gone in the water.
However, police found the friend at his home.
In the bag, police found a bottle of Jack Daniels and a camera with pictures of the victim with another person.
It is not known why the man went into the water.