one of my childhood friends from KSA is currently living in Malaysia for his studies... he hates living there and wants to go back to KSA :) I guess its not the country, its the people who always like to complain (myself included).
This seems more like a case of Nostalgia and the hardships of living alone (studying, economic pressure and managing everything of your life yourself)
Given the choice to choose between KSA and Malaysia if you are offered the same job with same salary in both the countries, I do not think many would opt for KSA.