Great point. This is also the reason we can't pass meaningful taxes on the wealthy - including cap gains. Because everyone in the US believes they'll one day be a millionaire.
Equally, business location seems to have very little to do with personal taxation.
This all funnels down to a fundamental misunderstanding of the source of wealth: it starts with a working economy where people buy stuff and work. The rich, like it or not, don’t do much of either relative to their wealth.