Europe ain't what some of these guys think it is. Just ask Ty Lawson, who is having a, ummm, "difficult" time in Lithuania (scroll down past some very NSFW tweets). Language barriers, racism, cultural barriers… it's just not the same.
And then there's the business side. Guys can get cut with no notice for no reason, and I've never met a player who went overseas and came back getting all the money he was promised. It's not pretty. It's the flip-side of the "hey, look at players getting jobs during the lockout" story.