Tbh, this isn't as stupid as other MPs or the PM stepping down.
Farage achieved his goal of getting a referendum and leading it to a leave vote.
In a while we ought to have left the EU, and Farage will no longer hold a political office as he is an MEP.
After that he won't be able to represent anyone in Parliament as he isn't an MP and has never won a seat for Parliament.
We should actually start to see UKIP shrink now that their goal is achieved. As a party they don't really have a need/desire to take power in parliament. The party was unified in its desire to leave the EU and control immigration, but is much less unified on how to run the rest of the country.
So we should, after formally leaving, see UKIP membership decrease and they recieve fewer votes in elections.
So on the whole Farage isn't abandoning the UK by stepping down as neither he nor his party have any power in parliament.
It's much more different than Cameron or Boris refusing to retain/take up the role of PM, since at least they would have power and could guide the UK through these changes.