I have heard that he was rather upset at the establishment, but I don't know why? What this the only reason, or were there others?
After winning the prestigious Linares tournament for the ninth time, Kasparov announced on 10 March 2005 that he would retire from regular competitive chess. He cited as the reason a lack of personal goals in the chess world. When winning the Russian championship in 2004, he commented that it had been the last major title he had never won outright. He also expressed frustration at the failure to reunify the world championship.
Kasparov said he might play in some rapid chess events for fun, but he intended to spend more time on his books, including the My Great Predecessors series, and work on the links between decision-making in chess and other areas of life. He also stated that he would continue to involve himself in Russian politics, which he viewed as "headed down the wrong path.
So: lack of motivation, and changing interests.