And between income tax, payroll tax, sales tax, you'll be taking a substantial cut in income - for housing which is more expensive, colder weather, and less sunlight.
I'll be moving back to Europe this year, and I find your comment quite funny, given that I am moving to a city with significantly cheaper housing and better weather than where I live now (NYC).
QoL is not only measured in "dollars of income".
Housing isn't more expensive baring maybe the city centers of huge cities like Paris and London. But housing is much more evenly spread and better connected with transit, so you don't jump from uber expensive dense city core to very far away low density suburbs. Savings from healthcare and transportation, plus pensions, offset the taxes, mostly.