Actually some of them should move. Colt's been a political issue for more than 20 years, but the state pension fund and the number of workers are not what they used to be. And the equipment at their facility is horribly ancient.
S&W also uses equipment that is out of date. Taurus, which bought original S&W tooling, has replaced and upgraded their machinery until there is no comparison.
Those are bad examples, but remember that these are companies that are the pride of American gun culture.
Part of the problem is that new equipment takes money. but worse is the fact that the old employees don't know how to use the new stuff. Hireing a new workforce, or retraining, costs not only dollars, but also in terms of quality. And the majority of the workforce now is old. and new hires there do not learn modern production, so they shortchange themselves (career wise) by working for an out of date company.
Also the land is long bought. Maryland practically gave Beretta their property in Acokeek in order to get the jobs. (That's why the US Military went with the 92; SIG would not relocate). Colt and S&W have an old tax base and low overhead. To move they would have to sell the property, if they could.
I'm willing to bet that if Colt walked away from it's location you'd find one heck of a toxic mess. And most gun manufacturing operations are the same. As long as they stay there's no pressure to investigate, but it they left the fines would ruin them.
Last is money. I can't think of a gun manufacturer who has a lot of cash. And it takes cash to move. Remember, they have to keep producing enough product at the old facility to stay in business (including covering the costs of the move) until the new faclity is actually up and running. That's a doubling (at least) in the cost of doing business. And those costs must get passed on.
So, bottom line. Would we, as consumers be happy to pay the companies to move to states where they would have a more supportive atmosphere? Keeping in mind that this would probably double the cost of the goods produced, it's pretty doubtful.
And say they did move. What's to keep the state from changing politically (like Maryland).