The move could happen, but it certainly would not be easy. The economic disruption that would occur (around the world, not just in the US) if NY's financial industry was shut down or forced to move cannot be overestimated.
There's a very real reason why Al Qaeda counts the NYSE and the rest of NY's financial industry as a top target.
Shut down yes would be very disruptive. Just moved to Florida or Texas because the labor market and office space and cost of living are cheaper? Not disruptive at all.