Some of you are probably shocked by this headline. But it is true. Here's the chart to prove it:
Toronto is number one. Los Angeles is number two. And New York sits just behind Winnipeg and Calgary. Huh?
The reason this is likely surprising to you is that when most people think of urban density they think of the urban core. And you are correct in thinking that the urban core of New York City is denser than the urban core of Winnipeg.
The difference here is that we are talking about "urban area" (or "population centre" in Canada). This is the continuously built up area around each major city. Think of it as the lit up area that you might see on a nighttime aerial photo.
Urban areas don't care about municipal or other jurisdictional boundaries. And they don't factor rural areas. Urban areas are a measure of continuous urbanization.
So even if you have the densest downtown on the planet, if you have a sprawling low-density urban area surrounding it, you can still end up with a relatively low overall population density. And this is precisely what is happening here with New York.
This is also why there's only so much that you can glean from a blended average like this. Because you can have very different urban forms and very different mobility splits (think New York City vs. Winnipeg), and still end up with somewhat comparable averages.
Chart: New Geography