A couple of points to consider:
1. He might be using this as leverage to get the committee chair he wants after the GOP takes the Senate in Nov. Leadership might not be inclined to give such an important position to a lame duck. He'd offer a quid pro quo.
2. What are the Arizona election laws about filing to run as an independent AFTER you lose your primary? In South Carolina, you can't do it...that's why we can finish off Graham now. Anybody know? Or, if his polls are really bad, he might well announce an independent run early on..he's a mean, stupid, stubborn enough cuss to do something like that.
In Alaska there is a rule against running as a third-party candidate if you lose the primary, but the RINO got around that by running and winning as a write-in.
The law in AZ is he can’t run as an Indy if he loses the GOP Primary, but he can run for the Primary from more than one party. IOW, he can put himself on the GOP and Green Party, and if he wins the Green while losing the GOP, he can be on the General Election ballot as a Green.
I don’t know if running a write-in campaign is possible in AZ like it was in AK.
Link: http://electionadmin.wisc.edu/bjk.pdf