This is a threat(?) that crops up all the time in the UK with various celebs saying they'd leave the country if The Conservatives (or who-you-will) win the next election.
I've never heard of one of them who made good on their promise. The only exception I know of is that rogue actor Gerard Depardieu who stated he was handing back his French passport after a tax hit on the wealthy. In 2013, Vladimir Putin signed an Executive Order granting Russian citizenship to Depardieu.