You're entirely free to move. The reason why there are no ChatGPT competitors of EU origin is the same reason why there is no SpaceX competitor in Europe. And that's not necessarily anything to be ashamed of, it simply means that the USA has the advantage and that once you reach a certain concentration of wealth it tends to lead to further concentrations of wealth. 400 years ago Europe was ascendant, today it is America and 30 years from now it will be China or India. That's just how it goes, and if it makes you feel ashamed realize then that there are no ChatGPT competitors from any other continent.
In a race like this the first mover advantage is very large, and highly driven by available funding, not by the availability of founders (of which Europe has plenty).