An excerpt from "Threatening to Move to Canada":
For example, if you are watching TV with white people and there is a piece on the news about that they do not agree with, they are likely to declare “ok, that’s it, I’m moving to Canada.”
Though they will never actually move to Canada, the act of declaring that they are willing to undertake the journey is very symbolic in white culture. It shows that their dedication to their lifestyle and beliefs are so strong, that they would consider packing up their entire lives and moving to a country that is only slightly similar to the one they live in now.
Within white culture, it is agreed upon that if Canada had better weather it would be a perfect place.