Just keeping it at a level of taxes and fees, Texas is much more expensive in those terms for the average and low-income person than California. Like any conservative state, the burden has been shifted from the rich onto the shoulders of the normal citizen. It's true that California can be expensive in certain areas, because it's a popular place to live, and often people get better services than in red states, where you see decaying education and even basic things like transportation captured by special interests or non-existent.
For a rich player, yes, he's probably getting a bit more money back for living in Texas in terms of housing costs, although moving etc. is not cheap. The point is that the oft-repeated notion that athletes make so much more for living in 'no tax' states like Texas isn't true at all. The way people pay taxes has just been shifted.