I guess it depends on if you are a fan or not. I'm not, so I would have kept it! Screw the Yankees!!
I have a friend I used to work with who caught Dustin Pedroia's first home run as a Red Sox...at home. He gave the ball back but has a signed ball, a picture with Pedroia and all his friends from that day that is on his home screen of his computer and various other items that they gave him for handing the ball over. My friend is a huge Boston fan so he didn't even think twice. Pedroia has gone on to be a great player, and I'm sure that ball could have fetched a pretty penny.