This is it.
I grew up in Edmonton. It can be a real fishbowl for NHLers. As kids, we knew where many of the players lived and would specifically go there on halloween in the hopes of seeing our stars and getting the best trick-or-treat haul. As teens / young adults we knew which bars where Oilers players or visiting teams would frequent. Whether at the mall, in the airport, or just out for a run - NHL players were always recognized. Most people seemed chill and respectful, but players were still being observed and sometimes there were over anxious fans invading their privacy.
Now compare that to a market like (just an example) San Jose or Nashville. They're nice cities and have great passionate fans - but the average person on the street isn't going to obsess about you. That sounds way more comfortable to me - especially if my wife and kids are out with me too.