I wouldnt say it is illegal but that all depends on what the laws are in the location you live in.
My Local Law says:
Pre-empting traffic control signal devices prohibited
79.1 (1) No person shall drive on a highway a motor vehicle that is equipped with, carries, contains or has attached to it a pre-empting traffic control signal device. 2002, c. 18, Sched. P, s. 22.
...The part which says "drive on a highway", city streets are not considered to be highways
