This quiz, also by reless, which I had forgotten existed, is interesting. It shows that Canada is actually the #1 destination for American expats easily beating out most of the rest of the world, and Mexico does not even make the top 20.
So, I supposed that the reason is not so much that Americans don't want to go to Canada, as it is nobody wants to go to Mexico. Canada is a much more desirable destination for other people from around the world and those people immigrate in numbers larger than Americans, pushing the USA out of the top 5.
Also, it's cold.