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There's a number of countries with some form of "has needed skills" visa. There are also options of paying for one. Job sponsors are not the only way.

But anyway you need a work to sustain your life. If you have enough money to not work - visa is not an issue then, just pay for it.

There's a vast difference between having enough money to sustain yourself and dropping 100k-200k on a piece of paper.

Also, money. It is not exactly cheap to just move to another country -- or another state in a lot of cases.

Also, money. You can generally live anywhere if you drop some cash into the till.