As the title of my question suggests, I want to know whether we can say both expressions are correct, or if one of them is wrong.  Which phrase is wrong, and why?

>I'm new **to** NYC.   
>
>I'm new **in** NYC.

I'm not a native speaker but I tended to use "I'm new to NYC" without a second thought. But a friend of mine told me it was wrong. So now I'm baffled between the two examples. I can't be 100% sure when it comes to such expressions because, as I said, English is not my mother tongue.