This is tricky because there are a lot of factors and some don't matter if you're an athlete or just a normal joe blow.
Weather
Entertainment
Attention
Finances
Weather-San Diego regardless who you are
Entertainment-Depends on your age, marital status, etc. I don't think this one is actually as important as some people make it to be. For every Deion Sanders/Jeremy Shockey opening $1k bottles of Cristal at the club, you have 40 guys that live their life like normal 25-35 year olds. Some may hunt for entertainment, some may play video games, some may go out to eat, etc.
Attention-This depends a lot on the level of athlete. Lebrone James is going to get attention everywhere compared to an average outfielder for the Indians. I could see how this level attention could be actually worse in a place like LA, NYC, etc. where you have a lot of tourists. In this case, living in a place like Green Bay may actually make sense.
Finances-The average NFL player plays for around 3 years and makes about 4 million in that time. Sounds great but living a "large" lifestyle can quickly burn through that money. Even more so than you're average doctor/lawyer, who can just continue to have a high income, it would be important to live modestly. I think the most important piece would be thinking about where you would want to live after your career has ended.
So I guess it's more about how you live than where you live. You can spend a lot of money wherever you live. You can have a mortgage for a 40 million dollar house in GB, you can have a million dollar Bugatti in KC, etc.
I'm probably looking into this too deep. Screw it:
Yes
San Diego
No
Indianapolis