Blue states have more wealthy, more college graduates, and less single mothers and unwanted children, than their red state counterparts. Blue states essentially carry the poor blacks in the major cities, and the poor rural/suburban whites in the south.
Wealthy people stay in high tax blue states because it is better to live there than in certain parts of the country. Take that argument out to a global scale, the wealthy have no other place to move to other than the US if they care that much about their taxation.
Freedom isn't free.