I don't know if he can do that, since IIRC, Arizona has sore-loser laws. (SJB and other Ariz. FReepers could do well to confirm or deny that last part.) But, there are a number of things he can do, including assisting the Dem candidate (a possibility, since the most recent polls show J.D. with a theoretical single-digit lead over potential Dems), defecting to the Dems in the Senate, and attempting to snuff out the Tea Parties by inciting the GOP establishment to go massively "bipartisan" in his last few months in the Senate.
It all depends on how angry McCain is, or will be, when he loses that which he feels entitled to, and how deranged he and his supporters become.