The first important fact is whether the country of destination has signed a treaty to avoid double taxation with your country. This is to prevent that our pension is taxed twice, by country of origin and that of our residence.
On the Department of Finance website we can find the official list and the individual treaties, which should be read carefully, and among others there are Bulgaria, Poland, Portugal, Romania, Slovenia, Spain (and therefore Canaries).
Under certain conditions, if we live outside of Italy for more than half of the year, we are considered tax resident abroad and we pay taxes only in the country of residence (except regional and municipal surtaxes that must still be paid in Italy). An important exception concerns pensioners in the public sector (the former Inpdap), which in many cases must continue to pay taxes in Italy even if they live abroad.
This clause is particularly interesting if the new country has lower taxes, such as a "flat tax" of 10% such as Bulgaria (6% for some retirees), or if it has specially created a favorable legislation for pensioners, as is the case in Portugal where for ten years they are exempted from taxes.
In addition to income tax, we must check how much the indirect taxes, such as VAT, weights and if there are other taxes, such as on home and car.
The foreign tax residence is in most cases advantageous, but there are some cases particulates to be evaluated carefully.
If we pay taxes abroad, we lose the right to certain non-contributory benefits, such as social benefits that the state provides to the elderly with a very low income and such as the allowances provided for disabled people.
Our heirs may have to undergo a double inheritance tax and, if we own a residential property in Italy, we can not make use of the personal income and IMU tax deduction for the first home. For the consequences on healthcare refer to the specific chapter.
Please note: it is a delicate matter, and given that the Italian tax laws are constantly changing and are not always very easy to understand, you should ALWAYS be informed on the latest provisions in official sites, such as INPS, MEF and Italian Revenue Agency.