It does bother me a little that he's fine playing for the dumpster-fire Knicks or the small-town Bucks but not Boston.
This I think more than anything is a Danny Ainge image problem. This is a GM that is great, but at the same time very ruthless. He has constantly stated his position on trading players while they still have value and he has traded the face of the franchise on 4 separate occasions (Walker, Pierce, Rondo, Thomas). Anyone that signs a contract in Boston has to realize he has a very good chance of not seeing the end of that contract. You can't live by the moniker of Trader Danny without eventually facing backlash for your lack of loyalty. Plus you have Irving who is publically waffling a bit (he could have just doubled down on re-signing but left that door open). You have reports of young players not being happy, Irving blasting teammates in the media, etc. There seems to be some dysfunction in addition to Trader Danny running things. Plus you couple all of that with the simple fact that Boston can't acquire Davis now without trading Irving (which defeats the purpose) so there is no reason for Boston to be on his list right now.
As for the Bucks, they have the best record in basketball, they have the front runner for MVP who just turned 24, is signed long term, and is at least publically very happy. What great player that wants to win, wouldn't want to play in Milwaukee. I mean if winning is what truly matters then the Bucks have got to be a top 2 or 3 place to play. The Bucks though don't have the assets to make a trade for someone like Davis as Middleton, Brogdon, DV, Maker, and draft picks just isn't going to get it done.
The Knicks are a little different, but I'm pretty confident that Davis knows if he is traded there, that the Knicks will be adding at least 1 max level player this summer to play with him.