It happened under the 145th Street Bridge around 3 a.m. Sunday.
Three men jumped in to try and save her, but the fast-moving currents swept her away.
Around 100 other college-age people were partying there at the time, police said.
The area is a parking lot near an apartment building at 147th Street and the Harlem River Drive. The woman fell through a broken part of the 6-foot tall fence, police said.
Police and coast guard divers spent hours in the water Sunday, but they could not find anything and said conditions were very dark and the current very strong.