As someone entrenched firmly in the middle class, I would never live in Florida because the options available to me would be completely undesirable. As a multi-millionaire, I would move to Florida in a heartbeat, because the options available to me are incredible. It's the same thing with LA and San Diego.
Ever take a random amount of money and look across Zillow to see what you could afford in different parts of the country. I don't really want to live in Kentucky, but I just found a beautiful new 2k sqft 4bd/3ba home on two acres with a natural pond outside of Lexington. It wouldn't even be a lateral move financially. I'd be saving money over my 800 sqft condo in Reno.