It means they have a large un-productive class, more specifically, they have an un-proportionate amount of single mothers, poor elderly, and children on their welfare rolls. Look at all the southern states for example. If the federal government suspended all funding to the southern states we would save billions annually. Maybe with the exception of southern florida (imports) the entirety of the southern US stretching from South Carolina to Arizona are heavily dependent on government investment to provide jobs, pills, medical care, and housing for a large portion of the population, including Texas, for it has a large federal presence all over their state.
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.