I think another part of the problem for Arizona as a retirement destination is that while it might be a nice place to retire due to the warm weather, it isn't really a nice place to vacation except for a one-time trip to the national parks, etc., and people are choosing Florida for retirement in part because they visited it many times during their lives before retirement.
In addition to having one of the most famous tourist destinations in the country, Arizona attracts a wide variety of tourist traffic for other reasons, many of which are the same as Florida: baseball spring training, golfing, the existence of a major city, and so on. Anecdotally, I have a friend in Minnesota whose parents visit Phoenix every year. I can believe that Arizona gets less tourist traffic from the East Coast, but it tremendous volume from the Midwest, as you can see from the abundance of Allegiant flights from the Midwest to Mesa or the wide variety of Midwestern chain restaurants available in the Phoenix area.
It's surprisingly hard to find tourism data by state, but
here's a YouGov report on states by the percentage of Americans who have been to them: Florida is first among all states, but Arizona is one of the highest among states outside the eastern seaboard.
An infographic posted on Business Insider in 2014 lists Florida as second and Arizona as eighth in the country in terms of total hotel bookings, which would suggest that both are states that attract heavy tourist traffic. If your definition of "a nice place to vacation" is having Disneyland, then yes, Arizona doesn't have that, but it certainly attracts an enormous number of visitors in spite of that.
