i don't think it's just about 'risk' of failing in his job, which could happen either way.. Though I doubt he anticipates failing!!
Of course, at Blackpool he is in control of his own future and his success or failure, whereas in Saudi his success or failure would be tied in with Gerrard, which didn't exactly work out last time around.
By leaving us in the lurch and jumping so early in a job, he also suffers huge reputational damage and potentially closing the door completely on his career as a Number 1. Future suitors are going to think twice before appointing a bloke who has such little regard for a contract.