They spent nearly a billion dollars on the last remodel. The city council only granted a 10 year permit, when MSG wanted an indefinite one. The problem is that Penn Station underground is a mess, and the passenger railroads want an above ground part of the station similar to the old Beaux-Arts building torn down in the 60s. After that was torn down, there was a movement to keep Grand Central Terminal from being torn down. If it goes down, Pennsylvania Plaza will probably also go.
http://ny.curbed.com/2016/4/26/11512886/madison-square-garden-penn-station-relocation-too-costly
I guess location is important. However, most of the major sports venues in the Bay Area have poor locations for transportation. SAP Center does have public transportation, but parking is horrible. It's worse at AT&T Park. And Levi's Stadium was a massive mistake.
Strangely enough, possibly the best location in the Bay Area is Oakland. It's right next to the freeway, with BART and Amtrak right there. All major (and some relatively minor) sports have been there, including NFL, MLB, NBA, NHL, USFL, and even MISL. There's also the possibility that no teams will be there within a few years, with all the current teams discussing moving.