It happened Thursday night at the Brentwood station.
The MTA says he got into a fight with the conductor on the Penn Station-bound train when he was trying to collect the fare.
The suspect allegedly pulled out a folded pocket knife then escaped through an emergency window.
The man did not unfold the pocket knife, according to officials.
The investigation is ongoing.
You can get the latest news, sports and weather on our brand new CBS New York app. Download here.