There's always a cost
It's called opportunity cost. You never know just when burning that bridge will cost you. I've heard of people doing exactly what you state - only to find themselves in need of employment years later and guess who was on the other side of the interview table?
Never burn a bridge. In your exit interview, simply state that a better opportunity has arisen, stress how important your time has been with your current company, list things of value you brought to the company (and vice versa), and then make a graceful exit.
You won't score any "haha" points, but it's an insurance investment for your future. You just never know what the future holds and who shall be holding the keys during troubling times.
