It's not just the high cost of living (though it is really high).
What really matters is the everyday stuff: Do the subways work? Do they leave and arrive on time? Do they smell like port-a-potties? Is the garbage piling up? Are the streets clean, safe and orderly? Can you get around town to do business and live your life, or is it an ordeal every time you set foot outside of your own neighborhood? Can you get to the airports easily? Are the schools worth a damn? . . . .
Not when you can sit in the shade of your palm trees in Houston in February in a nice three-bedroom house that costs you half the rent on a one-bedroom apartment in Manhattan.