If the people left any country in the world except Canada, and moved to Canada, then the sentence They emigrated to Canada is correct. Therefore your response is wrong because it claims that the correct sentence is incorrect.
Of course, if the sentence were written by a person in Canada, then we would expect immigrated. However, even then, emigrated is possible if the writer is focusing on the country of departure: They had been very happy in Ireland but, when they both lost their jobs and homes, they emigrated to Canada.
You do indeed emigrate from a country, which may or may not be mentioned; at the same time you emigrate to another country, which may or may not be mentioned.
NOT A TEACHER.
Maybe this will help you internalize the differences among "emigrate," immigrate," and "migrate."
A emigrated from C.
A immigrated to D.
A migrated from C to D.