That was one of the things floated around, and I can't remember if I ever got a clear answer.
There was the thought we didn't want to guarantee him a roster spot line --- which I don't think is accurate. (He spent the next season in the AHL because of the lockout, and also had a brief stint the following season when play resumed.)
There was the thought that we never had any intention of signing him and just wanted the pick. (Vancouver knew they weren't signing him and this allowed them to not have to ship their own second round pick to us in the deal.)
There was the thought we wanted the second pick and the opportunity to sign him.
There was the thought he wanted to test UFA no matter what.
And then there was all kinds of side rumors floating out there - that we never approached him with a deal, that he was a bit of a flake, etc.
Personally, I tend to lean toward the belief that he wanted to test UFA and pick his spot. The Rangers were a dumpster fire at that time, and no one knew that 2005-2006 was going to be such a turnaround for the franchise.
But that's the closest I can think of.