You should be worried -- and if I were you I'd re-evaluate your odds. My guess is that a startup which would print money would still have more than a 1-in-20 chance of failing to get funding at the moment.

Assuming you definitely want to continue with this startup (and think about that carefully -- sometimes there's a reason why startups don't get funded), I recommend doing everything you can to lower your costs. Yes, including moving out of NYC: While gravitycop makes a good point about location being important for getting funding, it sounds like you're not the person who is going after the funding right now (based on the comment about having 'no control')... and while VCs care where a company is based, they aren't going to care much if a few employees live in the suburbs.