In short, the report shows that a state's tax rate doesn't correlate to its net gain or loss of multimillionaires—a finding that echoes other research on the effect of tax rates on millionaire migration. Broader economic factors seem to matter as much or more than taxes for millionaire counts—like economic growth, business environment, the role of finance in the economy and the type of local industry.
"There are many reasons people settle in certain states," said Kim Rueben, an expert on state and local public finance with the nonpartisan Tax Policy Center. "Creating a functioning business takes much more than low marginal tax rates."
Demographics may also play a role. While older millionaires may be moving out of California and other high tax states, younger millionaires are being added through high-tech and other fast-growth businesses.
"You might have movement with people retiring," Rueben said. "But you have people trying to make their fortunes figuring out what the best environment is to be in business."
—By CNBC's Robert Frank. Follow him on Twitter