The public installation, which marks the third time that the "king of kitsch" has exhibited his work in the plaza, was designed to bring awareness to America's National Missing Children's Month which falls in May.
"I really hope that Seated Ballerina can represent to people of all ages a sense of hope and optimism for the future, but specially that young children can look at this and can get a sense of their own potential," the artist told reporters.
He took inspiration from a small porcelain figurine of a seated ballerina, which he then enlarged into a stainless steel sculpture before thinking that an inflatable version would have a "tremendous" impact.
The use of inflatable nylon, colored metallic, is a play on Koons's famous Balloon Dogs that appear to be inflatable but are actually stainless steel.
"Every time we take a deep breath and expand our lungs, we are inflatable and that's kind of a symbol of optimism," Koons explained.
In 2013, Koons set an auction record for the highest price paid for any work by a living artist when his Balloon Dog (Orange) sold for $58.4 million.
"Administrations come and go," he told AFP. "It's a great time to create art and communicate what's relevant and profound to you."
But Koons is no stranger to controversy.
He is still famous for his short-lived marriage to a former Italian lawmaker known in the porn world as "Cicciolina" and for channeling their sex life into explicit art.
In 2014, one of his sculptures was pulled from the Pompidou Center in Paris after he was accused of ripping off a French clothing ad.