I can definitely see that, siphoning off some Republican votes and reaping a fortune in campaign contributions.
It would be stupid for him to run 3rd party.
He’s only 38. If doesn’t win the nomination this time (and he probably won’t) he’ll be a front runner for the GOP nomination in 4 years—and he’ll only be 42.
A 3rd party run will ensure he’ll never be president. Be patient and remain a Republican and there’s a decent chance he will be president one day.