Parts were shot in Pittsburgh, LA, Manhattan, and London. The Freedom Tower under construction was obviously visible in some skyline shots.

In one scene Batman and Bane were fighting on the steps of Wall Street. From one angle the shot was filmed in front of the Mellon Institute in Pittsburgh and another angle was actually on Wall Street.

http://moviemaps.org/movies/7y

Parts were, but there are tons of gyroscope helicopter shots of Manhattan in the film.