After leaving Roma, he didn't go to the Saudi league, but Mourinho. If he really wanted to, he would probably be managing a team in the Saudi league now. I don't think he wants to leave Europe. I don't think money is a priority for him. Also, they didn't sign Lukaku, but Dovbyk came and I think he is a striker who can do good things. His presence is more important for Roma than Lukaku.
I also think that money isn't a priority for him, he has nothing to do with money if maybe he isn't happy. I waited to answer you to understand Mourinho's motivations a little, maybe he doesn't like the league or maybe he really loves staying in Europe. I honestly don't know the motivation behind this choice.