I believe they were reacting to a large "FOX News" sign near the entrance to MSG. C-Span panned over to the sign periodically, but it was mostly not in the shot.
You're right about the FOX News sign. I saw it a couple of times, and it did seem to drive the weenies into a frenzy. Their chants sounded so childish.
I think the prize for Most Childish Chant goes to the guy who yelled "George Bush, kiss my tush!" I had to laugh, listening to him.