It has been my experience that the taxes and cost of living reflect how desirable a place is. Look at any real estate section in a newspaper (or Zillow). The priciest houses are always in the most desirable locations. I also live in CT. My money would go further almost anywhere in the country, but I don't think I would want to live there. I don't need a bigger house than we have already. For context, I've lived in 33 different places, in 14 different states, and 2 different countries. We like it here the best, and we planned our retirement to accommodate the taxes and cost of living.
Ultimately, you have to balance your own financial needs with your other desires, but I would keep in mind that the grass is not always greener, even if you do get the big house and large lot with lower taxes. I wish you well in whatever you decide.