Not to mention that your belongings may include such items as land, a home, etc., which are kind of hard to pick up and take to another country.
Even so, it might be worthwhile *if* there was a place one could move to where your natural private property rights would actually be respected. Unfortunately, governments (even ones with a history of "freedom") have an even worse track-record regarding rights outside their borders than they have inside. Basically, if moving outside the country would solve the problem you probably wouldn't have to move in the first place, as your liberty would already be assured right where you are.