I haven't found that to be true at all.
I live in Canada for a while, then moved to the US. Even paying for property taxes, health care, college, I had a lot more money in my pocket. I would say my tax rate was almost 1/2 of what it was in Canada (obviously I took advantage of a lot of tax deductions in the US).
I ain't going to the US. I will emigrate to a developing country but with good public healthcare. Everything (electricity, public transportation, housing, food) will be a lot cheaper as well. So both lower taxes as well as lower costs of living.
Don't forget to factor that in lots of developing countries your salary will probably be a lot less too.
Edit: I feel like I should expand here. I live in São Paulo, Brazil. Rent is through the roof if you want to get two work in less than 1 hour. The goods are very expensive, everything is taxed 100% when imported, plus there are a lot of taxes added to the local products price.
I have a good salary for the place and even so, if my wife wasn't working we wouldn't be able to afford our two bedroom apartment within a 30 minute commute to the city center.
And obviously without any public service to justify it.