>and if you figure in the cost of living in NYC you're probably making less.

This is hardly that simple. Lower cost of living means lower wages. That will be a wash with cost-of-living type products and services but not with, for lack of a better word, "international priced" items [1].

I don't understand why so many people in the self proclaimed capitalist hub of the world believe things like living in a lower cost of living area means you have more money.

[1] A closer word might be "luxury" items but it's hard to call something a luxury item that people of literally all classes have (e.g. an iPhone).