Remedy published 2 additional maps for Dead Man Walking mode a couple of weeks after release.
These are not included in the Steam version (or any other as far as I know), but still can be downloaded from 3DRealms' legacy website, hosted by Rockstar.
Update: the latest version of Rockstar's site made this unavailable, but you can still access it through the Internet Archive (link below).
They are called "Upper East Side" (played with Max) and "Mona's Playground" (played with Mona).

Link: Click here to download[web.archive.org]

The file is less than 12 Mb, contains an installer and a readme, pretty self-explanatory.