I'm a Yankee fan myself. And I've actually heard this line of reasoning with old-school baseball fans. Before the playoff system only the team with best record in each league went to the WS. If your team did not make it you would root for your league, either American or National.
BUT...No real Yankee fan would root for the Red Sox. Just as no real BoSox fan would root for the Yankees.
BTW, why does Giuliani always bring up 9/11? We should just call him Rudy "9/11" Giuliani. Honestly, I deeply saddened by that tradegy, but isn't time to move on.