Icardi right now is the top goalscorer in the leading team of the Italian Serie A. That's his best chance of earning a call-up to Argentina and maybe going to the next World Cup.
Going elsewhere in January means risking a Fernando Torres/Chelsea situation, in which he's introduced in a new team in the middle of a tournment, doesn't gel in soon enough and becomes a shadow of his former self. He won't do it, if not out of loyalty (we should all take player's loyalties with a pinch of salt), out of not being a fool.