Why quit when it's the best forum for their skills?
Season after season these two made comedy gold. Their show displayed their talents in a way no other forum could or will ever do. It was theirs and they were getting more and more noterity for it. What could possibly be next for them that would give them even a fraction of the satisfaction of the variety of characters and skits that let them flex their creatively so magnificently? They are great in the bit guest star roles they've been doing independently, but nothing about those seem like they'd be satisfying to their career. I hear they might do a Key and Peele movie (like Monty Python and Kids In The Hall did), but it'd just focus on one character like the substitute teacher.
They seem to be like Bill Watterson quitting Calvin and Hobbes at the height of their fame. Obscurity and really early retirement seems to be what Watterson was looking for, but I don't think that is in their minds. I don't know what pot of gold they think is around the corner, but it was already in their hands.