This was a dumb move. He's unlikely to win and it's going to cement his reputation as a loser political opportunist. He would have a lot more power operating a well funded issue advocacy group with enough supporters that politicians are forced to kiss the ring. Then once he's built a track record run again for a national office (REP/Senate).
That's what I thought he'd do. He has that non profit Humanity Forward that's given out like $10M to people