That's simple.
Many of the 40% self-identified conservatives in the electorate are independents or Democrats.
At least half of THEM (more where I live) hate the GOP brand so much that having that nomination would be a deal-breaker.
Sarah Palin's fraction of the non-GOP conservative vote would be greatly increased if she runs as a non-Republican.
That doesn't make any sense what so ever. All 49 "third parties" together gained a total of less than one half, of one percent of the vote last year.
There isn't a winning mass of Democrat and Independent conservatives waiting to vote against the GOP by voting for yet another conservative "Third Party" candidate which exist in every election, including the 2008 election when Alan Keyes got fewer than 48,000 votes.
Palin running "third party" would merely guarantee Obama reelection and a chance for the Democrats to shift funds to the congressional and senate races instead of having to fight for the presidency.