It's a venerable political tradition by now:
I can remember seeing people -- not only celebrities -- saying that they'd move to Canada or Australia or the UK if they didn't like who was elected president, since 2004 at least. They always pick the wrong countries, too: Australia's current Prime Minister is a Christian fascist, and Republicans wanting to flee Obama's socialist Obamacare chose Australia (which has universal healthcare, like most developed countries) or Canada (Obama's bugbear too). Or they threaten to shut down their businesses, like the Atlas Shrugged Guy of blessed memory.
As some people pointed out, moving to another country doesn't fit very well with Springsteen's blue-collar persona; nice for the rich, not really an option for real working-class paycheck-to-paycheck shlubs. It's all just talk, like a child threatening to run away from home. They never actually make the move; I don't expect Springsteen to be an exception.
Nor will this guy, at least not voluntarily. He might need to flee to someplace like Riyadh; they owe him.