It's not just about Cost of Living. When you're an immigrant you know very little outside of your own family/community. The options are either be your own boss or be underemployed forever because you can't get hired to match your skill level.

And if you look at the founders of companies that eventually go public (or at least have the revenue that they could do so), they are pretty much all started by people who had connections and access to their own capital early on.

I'm not saying the American dream is dead, but it's never been as great as people make out and it's only getting worse.