Hythloday can't get no satisfaction from the current state affairs in Europe. That's how that song goes, right? The more we get to know the protagonist of Utopia, the clearer it is that he just isn't happy with how things are going down in his home continent: corruption, poverty, inequality, and violence abound. Yep, it's a bummer. And while he finds temporary relief in the radically different society of this unknown island called Utopia, it just doesn't last. In fact, when he returns to Europe and realizes how few people are open to the kinds of social systems Utopia uses, things only get worse for him. Poor guy.
Hythloday is just having a case of "the grass is greener." If he had actually stayed in Utopia, he'd start to find faults with all kinds of things there, too.
Utopian society is designed so that no one can ever feel dissatisfied—it's impossible.