This is hard to say. I have lived in both (mostly in US) and I really enjoyed both places.
I think many times people view what is most preferable about a foreign country and want the best of both worlds. For example they want the low taxes of the US and the generous social programs of the EU.
I would argue I am comfortable in the US as have largely "figured it out" in terms of my business and how things work here (taxes, infrastructure, health care, etc.)
On the other hand Europe has many aspects that appeal to me. Not having to pay so much for education and health is nice upgrade, and I much prefer trains over cars for getting around.
That said my time there still makes the EU seem "exotic" with its various cultures and I did not have to deal with how one starts a business there or own a home. On politics, while I understand Europeans more (specifically northern Europeans) in how they view things I have again accustomed myself to being the minority thought in a conservative part of the world.
Not the answer you may have desired, but best I can do for now. Comfort versus exotic.