Lebron would be foolish, or at least non-strategic, to close the door on free agency at this point. Keeping the door open shines attention on him and motivates the Heat to make things as attractive as possible for him stay.
I will give him the benefit of doubt -- I think Lebron either stays in Miami or leaves for Cleveland. Anything else and he opens himself up unecessarily for criticism. Pat Riley will also do whatever he can to keep the game's best player in Miami. Unless there is a feud of some sort internally, I just don't believe he'll reject another city to orchestrate another superteam (unless he goes back home).