They've filmed on location in Manhattan once before, I think in season 1. The show enjoys fantastic ratings which equal strong advertising revenue. They've also gone on location to restaurants and other random places outside the walls of their studio.
Compared to a VERY big budget show like The Unit, My Own Worst Enemy, 24 or Lost which all rely heavily on location based shoots, the office could afford to go on location more if it needed to, but the story is about....an office. There's little need to go out of the studio....
