Because Fox News doesn't really seem to suit him any more, in part because he has no patience for the FNC mantra that the "mainstream media was so in the tank for Obama," as a recent guest of his put it. Here was Shep's response:
"Oh, please...the mainstream media reflected what was happening in this nation. It did not drive it. The blogs didn't drive this movement. The media didn't drive this movement. Barack Obama did not lose this election. It was his to lose, it was not John McCain's to win. The Republicans had no shot unless the Democrats gave it to them, and they didn't. And to blame the media is a cop out and ridiculous. We are always here to be blamed by people like you who enjoy that activity. We always will be. When the Democrats lost last time, it was our fault. When the Republicans lost this time, it was our fault. It's not."