Yes, Jesus did say that so it is indeed true. However, there’s a difference between saying that you are blessed when you are persecuted and telling people that they should not try to avoid persecution.
As a Christian I know that I will go to heaven when I die, that doesn’t mean that I should try to hurry myself along to an early grave.
While you’re right that persecution in Western nations has not reached what it is elsewhere in Africa, India and the Middle East, that does not mean that persecution does not happen. If you would like me to, I am willing to pray for you that you get to experience this milder persecution yourself so that you may partake of this blessing and know first-hand what it feels like?