To be honest, getting "rich" (or just generating wealth) has
a lot more to do with what business and investment opportunities are available in a particular country, and less to do with what the cost of living is or what tobacco products and a round of golf costs.
The cost of living is higher in Canada than in the U.S. However,
the rate of growth in millionaires was higher in Canada than in the U.S. in the last report I read (2011?). At 1.4% of the population, Canada was #20 on the list of the 2011 Top 20 Countries with the Highest Proportion of Millionaires. The U.S. was #7 with 5.4%. The United Arab Emirates, Kuwait, Hong Kong, Qatar, Switzerland and Singapore were all ahead of us in 2011 - and the cost of living is relatively quite high in all of those places. If you're wearing a $10,000 Rolex, fire up your Rothman's smokes with a $900 Dunhill lighter and are driving a $250K Aston Martin, you aren't really concerned with what a pack of Marlboro reds cost or what the price of gas is.
BTW, here's something interesting that I just read: a report by Business Insider claims that the rate of growth in millionaires in America was higher during Obama's first term than under W. Bush. Assuming that's factually correct, I'd say that's another piece of economic data that many on the far right might find hard to swallow.