"New York's My Home" (1956) was composed by Gordon Jenkins and performed by Sammy Davis, Jr. It contains the lyric "When you leave New York, man, you don't go anywhere."

See "When you leave New York..." in the "Names and Phrases" section of this web site.

http://www.top40db.net/nfLyrics.asp?SongID=56508
New York's My Home
by: Sammy Davis, Jr.
Lyrics by: Gordon Jenkins
1956

Listen all you New Yorkers
There's a rumor going round
That some of you good people
Want to leave this town

Well, you better consult with me
Before you go (yeah)
Cause I been to all those places
And I know

[...]

So, save your time and trouble
Save your railroad fare
I said save your time and trouble
Save your railroad fare

Cause when you leave New York
Man, you don't go anywhere