The incident happened Monday at the 14th Street-Union Square station. Footage shows demonstrators yell out the phrase in a call-and-response chant.
One of the protesters is then heard saying, "OK, no Zionists, we're good."
At the time of the chant, the subway was halted and the train's doors were open. Minutes before, the apparent protesters had been rallying above ground.
There have been protests at a number of locations in New York this week, including multiple acts of vandalism.
ABC News contributed to this report.