I actually live in Toronto and I agree real estate here is expensive. What I don't get is WAY more expensive in places like London, Hong Kong, New York and San Francisco but I don't hear as many complaints or alarms going off in those areas. Why? Is this just me being oblivious?
There's basically four major cities a Millenial would consider: Vancouver, Toronto, Monteal, and Ottawa. (And I've heard the latter crapped on even by Canadians.)
Montreal is lovely, but if you're an Anglophone.
Compare with the United States: New York is a large city, but I could live in Philadelphia if I wanted to go slightly cheaper. If Seattle is to expensive, there's Portland.
It seems to me that basically everyone who wants to live in the "big city" seems to either cram themselves into Vancouver or Toronto. (Ottawa didn't seem to have the level of bustle I'd expect for a capital compared to say, London or DC)
So basically, the TL;DR is people in NYC or SF choose to be there. You basically pick a climate, then pick a price range.