You said it yourself. Leaving the speakership, even for a higher office, could only lessen the power he currently has.
True now, but why not in like the 90s when he wasn't an absolute juggernaut? For such a megalomaniac on a small scale, he certainly has had to have at least thought about it, so I'm wondering why he decided to stay Speaker instead of trying to be, I don't know, Senate Majority Leader or dare I say, President?
Why would he give up the certainty of absolute power in Springfield for the US Senate, where he would only be one of a hundred Senators? Working his way up the Senate hierarchy to Majority Leader is no sure thing, especially since it also relies on his party (and him!) consistently winning elections to keep him in the spot.
Compare that to his current situation: he will always be comfortably re-elected (which wouldn't be true if he were Senator or Governor—as Green Line mentioned, he's deeply unpopular outside of his district), he will always retain the job of Speaker (nobody would be foolish enough to try to challenge him), and Illinois will always elect enough Democrats to the House to keep him in power.
