From the viewpoint of having lived overseas for several years (recently returned to the U.S):
No, it is not up to you to visit them. Nor is it rude of you not too, even if you do have the time, financial ability, etc.
But remember, even though they made the decision to move, they are heading into the "great unknown." Along with their excitement, they probably have healthy doses of uncertainty and fear too. They want some assurances that they won't be forgotten or "left out" in their absence.
Consider responding to their comments is a more non-commital way such as "We'll see how it goes. We know that XYZ is a fantastic place" or "We'll miss you terribly, but we'll have to see what the future brings." I know you are trying to manage their expectations, but I suspect they may be hearing "Seeing you isn't worth the time or money."
While it is completely reasonable to not plan to visit them, but there are some things you might plan to do. Try to make sure that you are in regular contact with them, via email, skype, phone, etc. Make sure that they aren't the ones who are always initiating contact. (Because of the time difference, Europe 6-9 hours ahead, it may be a bit of an effort to find time to call them during waking hours for both of you, so it gets easy to let the contacting fall to them.) Send a few care packages with favorite foods, etc., they are as valuable as gold because they are a tangible reminder that they are missed. Or try to create a few traditions that both sides of the pond can participate in. My FIL used to read us all "The Night before Christmas" over the phone. We followed along in matching copies of the book he had given us. One year he read to England, Taiwan, Philadelphia, Tucson and San Diego... all from his living room in Boston.
Hopefully, over time efforts to remain in touch will be fairly equal on each side.