In most cases, the overwhelming driver of higher tax burdens is because of overly generous pensions handed out by progressive governments.
Then you also have ridiculous policies, in places like CA, that contribute to housing shortages and massive hikes in COL as a result.
And, yeah, I can definitely see people leaving because of high tax burdens they were well aware of when they moved there. Besides most people not having any grasp of COL until they wonder where all the money went in their bank account, it's also the case most people's careers don't progress to substantially higher salaries they expected/hoped to one day make to be able to enjoy the city. I've had more than a few people tell me "turns out NY is a pretty great place to live if you make enough money..."