Jay wanted to put in 3 more years on the Tonight Show and retire at age 65. I don't think he wants to start all over again with something that cannot compare to what he had.
Besides, Obama made him Ambassador of Antarctica. Not sure if Obama did that as a "touche" to Jay for not "following" political correctness on his show. Matter of fact, there is rumour that Jay's leaving is just because of that, too many Obama jokes.
Jay's tearful farewell was definitely sad and from the heart. Will miss him.