NJSP Marine Units as well as USCG also responded to the area.
UPDATE: Per USCG this is on the ocean side just past the bridge, a boat being launched out of Sandy Hook Station, this is now possibly a small aircraft down in the water.
UPDATE 7pm: There is debris floating, but SB & NJSP Marine units returned to base. It apparently was just dredging equipment about 1000 yards off shore. NYPD aviation and NJSP marine unit confirmed.