Why are there people who want to leave a developed country?

Maybe it is a stupid question, but I want to know why. If you were born in the US, Canada, Western/Central Europe, Japan, South Korea, Singapore, Australia, New Zealand, Hong Kong, Macau or Israel, you won the birth lottery and you were born privileged. Why bother with immigration and everything it implies if you already have lots of opportunities and chances to grow and develop in your home country? I am asking this coming from a third world country in which many people lack many basic things and there is, e.g., water rationing. I just want to know.