It's Kansas City.....
Kauffman Stadium is super awesome.
The city isn't.
MLB players don't have to live in the city they play in. Indeed, many live in Arizona, Florida, or some other warm, low-tax state for the entire offseason, and during the MLB season they are on the road half the time.
IMO, Kansas City was one of the most enjoyable places I ever spent a weekend, but I really like BBQ meat. If I lived there full time I'd either become morbidly obese or get sick of meat, both of which sound like horrible fates.