It's not clear what it was, but the Oscar-winner appeared to try to shield the object from photos using his closed umbrella.
He also seemed to be carrying a hefty item in his jeans pocket, despite having his phone apparently in his hand.
He sported a camouflage baseball cap covered his head and, along with dark glasses over his eyes, gave little help disguising the distinctive Wolf of Wall Street actor.
It was also announced on Friday that Leo is teaming up once again with Martin Scorsese.
They are developing a film adaptation of true-crime thriller Killers of the Flower Moon: The Osage Murders and the Birth of the FBI