Completely agreed. The argument I heard made before is "if people can just move, why do gay people live in [state with no civil protections for gay rights]?" It's an easy one to answer. Family, job, social connections, money; those are just a few. Then comes the question of how free should each state be or not be? What if you are born, for example, both gay and a native Texan[0]? Should Texas have the right to "force" you out of where you were born and bred simply because a majority of its legislature detests gay people?
0 - The choice of Texas was deliberate because I am a native Texan so I'm not "picking on" any state other than "my own."