I wouldn't be surprised if he's considering it.
I seldom watch the TV show but almost always hear him on radio.
He has made a number of vague "I don't know where I'll be a year from now" statements.
I think it would be a mistake for him and us.
He does have a great, established platform of (sort of) like minded people on Fox as well as a large, very loyal following.
It would be harder for someone to discover him somewhere else