Crazy, yes. But wouldn't securing a long term, lucrative deal, while his stock is 'high' give him more security?
If Gay plays out his contract then he could potentially hit free agency with the likes of Kevin Love, LeBron James, Carmelo Anthony, Marc Gasol and co. Now granted that market is based on guys not opting out, being part of sign-and-trades, or signing new deals with their existing team. But if everyone stays at their existing team and then hits free agency in 2015, unless Rudy Gay has an even better season, then he could be a second tier option. Perhaps there is a chance that a team misses out on one of the top guys and then over pays Rudy Gay, but it is a risk hitting free agency with that many top tier guys.
If Gay opts out of his contract then he stands to be one of the best players on the free agent market. His stock is relatively high. So he could pick his destination, and get a long term, lucrative contract. There will be enough teams with cap space that could afford to sign him, for example the Charlotte Bobcats have put themselves in an awkward position. They aren't good enough to contend a championship, but aren't bad enough to contend for a top pick. They have a hole at SF and for a scorer, so with $19 million in cap space Rudy Gay could get a big money deal and fill a hole. Then there are teams like the Washington Wizards, Cleveland Cavaliers, Dallas Mavericks and so on. He might not get anywhere near the $19 million he would get here. But he could certainly cash-in and grab the security of a long term, lucrative deal.
What it comes down to is a gamble. He can take the easy money, but that comes with the risk of what happens if he suffers a major injury or dip in form, either of which could affect his chances of a big pay day. Or he can opt out and get a big(ish) pay day right now. He might stand to lose some money on next season's salary, but with his current market value, he could stand to land a fairly big pay day by a team that needs a SF to take that next step.