The Yankee Stadium website has a “Banners and Signs” policy: https://www.mlb.com/yankees/ballpark/information/policies
Maybe the following is the justification used by security to remove the banner?
“Banners and signs are permitted provided they are baseball-related, . . . . Banners and signs may not obstruct the view of other Guests or Yankee Stadium advertising signage . . . . Banners and signs may not be displayed in fair territory. Any banner or sign may be removed, at any time, at the sole and absolute discretion of the Yankees.”
When the fans holding the banner got into a tug-of-war with security, then security removed them, too.
The question is, if a same-size banner had a different political message supported by the crowd, would security have removed it?
It was a stupid stunt that will be used against conservatives.