Utah? A Free State? Oh flip.
Well, it's certainly worked out moreso over the long run to be that from their point of view, at least, than Illinois did, recalling that Nauvoo became the largest city in Illinois during the time they were there. Following the death of Joseph Smith at the hands of the local anti-Mormon faction that town can hardly be said to have prospered, and the Mormons were understandably reluctant to limit their political dominion to a single locality rather than an entire state as a probable result.
Their perspective isn't the only one, of course.
Do you know why Joe Smith was in jail when he was shot?