On the face of it, this appears to make no sense. You'd think what was happening was northeastern Democrats moving to red states and, in the process, making them more blue. In reality, it doesn't work out that way.
Every blue state has a fair number of Republicans in it, albeit something less than a majority. Every red state has a fair number of Democrats who again are less than a majority. What the demographers believe is happening is that the people leaving the northeast are predominantly Republicans. Their leaving will make these states even more blue, while it makes the southwest even more red.
Why, you might ask, is it Republicans leaving the northeast? In part it is people moving to places that are philosophically more compatible. In part it is because they are the people who can find jobs in the southwest and people with jobs are more likely to be Republicans.
Finally, in part it is a social class issue. Republicans are often of higher social class than the bulk of Democrats, and one characteristic of social class in America is people of higher class are more geographically mobile.
Therefore what would initially seem to be liberals moving to a conservative part of the country turns out to be something else, a continuation of the sorting-out process in which we as Americans are engaged. Go see this Associated Press article from Forbes for details.
P.S. An exception to this are the substantial number of New Yorkers and New Jerseyites who have moved to parts of Florida - many of these are liberal, and obnoxious.