There is simply an advantage to being close to a network node with multiple connections that outweigh the costs. Whether you define that node in people in your field, different fields, different cultures, different ideas, availability of direct flights, trains, highways, whatever connection it may be. There is an advantage to maximizing available connections that can't be ignored.
And ultimately, it may even work out in your favor to live in a high COL place. The rents are higher, but usually your pay is relative so proportionally cost of living is about the same. That means in a high cost of living state, x% of your income is more money to invest and grow, and over a career that can lead to a significant difference in wealth.