To cosign what a few others have mentioned, the NBA is a business, and more often than not, making good business decisions may not always be easy, and certainly are not always popular.
The weather issue probably isn't a big a deal as others make it out to be, but taxes certainly are an issue. The cost of living in Massachusetts is ranked 5th highest in the country behind NY, DC, SF and LA. The problem is, Boston is much smaller and may offer less than those other cities, and in order to get some privacy, value for money and local proximity to The Garden, you pretty much have to live an hour outside of the city. Many of the Celtics live out in Lexington, Waltham, Wellesley and Concord. Even without traffic, that's not a quick run into town. They may make tons of money, but that doesn't mean they shouldn't be smart with expenses. Also, wouldn't you want to live close to your families as well?
Next is playing time. Guys who are out there at the back end of their rookie contracts are wanting a raise and some time on the floor. Until KG and PP are down to playing 10-12 minutes a game, who would want to come and back them up? That would be even more true for a veteran in his prime--why waste your best years splitting time with another all-star calibur player?