Sure. Rudy may have the MOST to lose but that does not mean he is most LIKELY to lose it.
Thompson is now the great conservative alternative hope so he will appeal to those who feel Rudy is not conservative enough. These anti-Rudy votes NOW go to Romney, the lesser candidates, or Newt NOT Rudy. So he doesn't lose there. McCain will bleed votes who have gone to him in desperation to defeat Rudy and McCain might even give it up and endorse Fred (which in my mind would be the only way he could become a major threat to Rudy.)
Most of Rudy's support believes him to be the best candidate available in spite of some of his past policies. So it is fairly firm.
What true conservative would find Rudy conservative enough give his record. He supports or has supported:
Gun-control laws
The idea of man-made global warming
Guest worker programs for illegals while filing lawsuits in favor of illegals
Taxpayer-funded abortion while donating money to pro-abortion groups like NARAL
Hate crime legislation
The appointment of leftist judges as mayor of New York
The homosexual agenda (he marched in every single gay pride parades in New York, even in one including NAMBLA, and has even offered to cross-dress to raise money for militant homosexual groups