Three reasons that won't happen:
1. It's too late to set up a third party run in many states.
2. Many other states have "sore loser" laws that bar a thir party run by a candidate who appeared on a primary ballot.
3. Trump is not going to finance a hopeless third party run out of his own pocket. And few big donors would contribute to same.
You are correct why Donald Trump will not run third party.