First, when Austin walked out he was still under contract - No way he shows up on a rival wrestling program without both him & said company being sued into oblivion.
In the past....every huge federation switch happened when the talent for whatever reason was not under contract to their former employer....Brett Hart released from WWE goes to WCW in 1997, Ric Flair released from his soon to expire contract after refusing terms of an extension goes to WWE in 1991, Kevin Nash & Scott Hall finish their deals with WWE and arrive in WCW in 1996, Lex Luger gave notice and left when his WCW contract expired soon after Super Brawl 92 for WWE, and was working without a contract in WWE, no deal in place, when he jumped ship to WCW in 1995.
Second, Austin has serious heat with the Jarrets from his USWA days before he went to WCW. Austin may have been very protective of his brand but most of the stars that worked with him liked him and got along with him, including HHH, Rock, Flair, Taker, & Hart. There is legit animosity between Austin & The Jarrets. Its highly doubtful he would ever work for them, especially considering....
Third TNA couldn't match WWE money. Kurt Angle went to TNA only because he burned bridges in WWE and was let go. Sting went there (and left millions of the table in potential money) because he didn't want to work full time or go on tour. But he didn't get paid nearly (neither did Angle) nearly what WWE would pay. Nash & Foley were past their prime (and Nash especially was injury prone) and did little work for little pay, every time WWE called they ran back. Hogan & Flair were long past retired and worked steady for decent pay but not WWE full time wrestler pay and not even what they get for appearances now. Austin in 2002 was 38 years old, physically and recognition wise he was the biggest star he'd ever be. Most really great wrestlers don't even hit their career peaks till they pass 35. Austin was a superstar, not a star who was old and injury prone, not a fired transplant, not an aging part timer who disdained travel and heavy schedules, not a retired legend looking for easy work. If you were going to perform and be the "Top Dog" why bother doing it for less money and less exposure ?
Fourth - Austin was hurting, his back was finished and when he did come back he did little for a brief return that basically only served as a way for him to FINALLY put over The Rock on PPV. He didn't want to wrestle and injury wise he couldn't. If you were going to stick around then why not stay with the company that gave your greatest success, your biggest pay checks, and has the biggest merchandising and audience ?
It's a "What If" that had virtually no chance of happening....
HBK to WCW in 1996,...that almost happened
Sting to WWE in 94 or 95.....that was debated
Flair to WWE in 98....almost happened
Austin to TNA in 2002 isn't even worth discusssing