People migrate to the US before the EU. Besides, US lifestyle (also a high tax country btw) is not the only possible alternative to european style quasi socialism (56% on the way there)
Incidentally I'd say most western countries are way too close to socialism, I'd rather see more private entities taking over security, healthcare and law making.
It's just that there is no money, so private EU companies suck so there is no money. The lack of strong companies doesn't imply socialism. Most people in Europe has most of their trade interactions with other individuals and private businesses.