Hmm, well for one thing Windows is not M$'s biggest earner.
For another, If they took Windows off the market, they'd get out of having to support their old (and new) OS's (apart from arranged contracts, presumably - but these wouldn't be renewed)
Next - Windows as a brand has become severely damaged over the past few years.
If they took Windows off the market today, people would still be using WinNT/2k/XP in 5 years time - heck people still use 95 today. It's likely developers will still be making Windows apps during this period anyway, until another OS has become the dominent OS, but it would a slow switch and you'd likely have devlopers using both OS's for a time after that.
And where in 'taking Windows off the market' does MS say they're going to stop making OS's I'd bet they'd love the chance to make a new OS from the ground up, implenting their current tech directly into the OS, securing everything with their own protocols, forcing everyone not only to pay out for a new OS but also for new copies of office etc, screwing them over more than they ever have been able to before. They'd also have a major advantage when porting windows apps across as they'd have access to both the old and new OS source. (taking windows off the market would likely mean that noone could force them to release the source)
The main disadvantage to them and the reason I think too think this is just an empty threat is :
64bit CPUs (itanium and the Hammer) should be available before the end of the year and if M$ miss the boat with WinXP64 Linux64 will quickly fill the void, and considering 64bit tech is firmly aimed at large corporates, MS will miss out on a shedload of cash and they'll find it very difficult to become the dominant OS if Linux64 takes hold before they do - it's a lot more difficult to become dominant than it is to stay dominant.
