If he's leaving, I think it's because his family would rather live elsewhere. That is not meant as a shot at Utah or Salt Lake, but he even mentioned it in his exit interview - he's never had a chance to be a free agent, and where he ends up playing will be a family decision. I'm not really sure what that means, but I think his family would rather be elsewhere.
The good thing is that most popular places to play are kind of capped out financially. So for in order for him to get paid, we can work out a sign and trade. The Knicks might have interest, but I just don't see them spending top dollar on Conley. Lowry fits the Thibs mold much more than Conley.