I think they always threaten to come up to Canada because of proximity.
They can purchase some nice little home and stay here part time (just on our side of the border), then scoot home to be with friends, etc. whenever they like. I suspect if any of them actually “move”, it will be symbolic and they will retain their homes in America.
IOW, they’re full of it.
I think there is a little more to it than that. Mexico is also close, but I've never heard of hordes of Americans threatening to run off to Mexico. Canada is very much like the US; Mexico is not.