This is correct, Jennings said (a while back but probably still true) that he doesn't want it. Short version: he doesn't want to uproot his family from Seattle to LA or have to commute between them. He also doesn't really want any more of a showbiz career than he already has.
From what little I've had a chance to see, it seems like being in show business can be kind of awful for you. I wouldn't blame him at all for saying "This bit is enough for me, thanks".