Why did many urban voters support roosevelt and the democratic party?

Depends on which time period you are referring to. Roosevelt was first elected during the depression -- in fact during the worst part of the depression. So the people in the urban areas (many of whom were living in poverty) appreciated the policies of the New Deal). He was first elected  in 1932.

If you are talking about the latter part of his stay in office (during the war years), the urban areas supplied most of the man power to fight WWII. They wanted an end to the war and it is American policy not to change presidents during a war. I think you actually want the answer in the first paragraph above.