Color Me Confused

New York City was placed under alert this afternoon about a possible terrorist attack on the subway system. Two oddities: (1) The "National Terror Alert" color scheme was not raised. (2) Mayor Michael Bloomberg held a press conference (video here) to warn New Yorkers about the threat but then said "I'm going to take the subway going up town and tomorrow morning I'm going to do what I always do: get on the train and go to work . . . . " So just what is it that New Yorkers are supposed to do?