Maybe he still has eyes for the Senate. This would probably put him in a decent position to run in 2022 as a rematch against Blunt or possibly an open seat race if Blunt doesn't run again.
Depends on how the political winds blow by 2022. If Trump is reelected, he could win with or without Blunt as Republican candidate. If a Democrat is president in 2022, Missouri is not a very likely senate pick-up unless Blunt or the Republican for some reason has major scandal. Running for governor in 2024 would be a better option in the latter scenario.