Whatever his party registration this week, Bloomberg is still a much bigger target for the Attorney General than a county sheriff in Arizona.
He may be a big target, but not for Democrats. The Democrat leaders here (in NYC) are in lockstep in support of the GZ mosque (with a very few exceptions). It’s the Republican candidates for office who have come out against it.
There is very little chance that a Democrat Attorney General (either NY or US) will want to investigate Bloomberg.