Yes they do. I'm a successful retired realtor and real estate agents will never admit it. Here is what you don't know:
Realtors / agents are independent contractors and are allowed to CHOOSE who they want to work with and reject you if they don't want to work with you. Since realtors have to pay fees and other expenses to stay in business, they have criteria of what types of buyers and sellers they will work with in order to get large commission checks so they can stay in business.
Since housing is very expensive in NYC and there are thousands of coop and condo buildings, this gives real estate agents plenty of motivation to select which buyers and sellers to work with. Therefore, if you are buying a cheap coop under $400K, why should an agent work with you when they can easily get buyers purchasing a coop for more than $400K. Their commission check will be much higher, so this means you will be rejected.
What you CAN do: Visit some large brokerage offices and ask to be connected with one of the new licensed real estate agents. These agents need experience and clients, so they will be happy to work with you. Agents need to start somewhere. Once they get experience and clients, they move up the ladder in getting more expensive housing units.
Another item is you need to be pre approved by a lender or have proof of funds. Agents will reject you if you cannot prove that you have financing secured. So if you need a mortgage loan, get this done first.