They won't leave America.
They may take a vacation but none of them will leave permanently. They need America. Here they are given constant attention and worship and praise and that's what most celebrities live for is attention. They are attention whores and in another country they won't get as much of it.
That's why they said it to begin with is to get attention. They have no real balls to back up their "threats". They say it to get some cheap attention but when the time comes for them to leave they will pretend like they never said it, or they will say something like "I can't leave this country to be run by these people. I will stay and fight for us all!" And then slink away.
They are gutless cowards and liars.