The case of the University of Illinois is particularly compelling, though you could make the same case for any number of other institutions with a similar track record of minting, and immediately losing, talent: Purdue, Bloomington, Carnegie Mellon, Waterloo, even MIT and Harvard.
Students graduating with technical, programming, maths, and/or engineering knowledge leave not only the univerisity and its immediate surroundings, but the state. Marc Andreeson as an example from U of I is a classic: he co-invented the graphical browser ... and immediately departed for California. (Apparently annoying a fair fraction of U of I faculty and students in the process.) Chicago certainly can't hold that talent.
And I don't think it's just the weather, though it's not only the winters that suck, most of the summer's not so hot, or rather, far too hot, and humid, as well. It's hard to think when your brain's a puddle on the floor.
High taxes, at least for housing, may be a red herring, as that actually helps keep housing affordable. Dysfunctional government, gridlock traffic, an actively anti-intellectual and often racist general population, sprawl, and the rest, don't help. There are scattered locations of focused intellectual activity, but not concentrated enough, and/or in the wrong disciplines, to leverage off one another.
And most of the region lacks the easy recreational escapes of the SF Bay Area -- you're not minutes from a bayside trail, or the bay itself, or beaches, hills, or mountains. Or a couple hours' drive from snow and alpine hiking. There are some opportunities, but they're far less immediately accessible, attractive, and rewarding.
NB: New York City does clearly appeal to many and draw much talent, though most of that has been in FinTech. Which I'd criticise, though compared to what Silicon Valley's produced over the past decade, I'm afraid it's a case of arguing for lesser evils. Front plates don't seem to deter people from California. And taxes, generally, pay for government services and infrastructure which supports and encourages economic development, so long as waste, misspending, and incurred institutional obligations are reasonable.
Places to register residency on retirement (SD) and places to work ... have a different attractions and qualifications, that's not really a legitimate comparison.
Smaller or mountain states might mount a challenge. I've been impressed with Colorado (who wouldn't be) and Boise, though that's a long way from nowhere.
So was San Francisco, once.