Some players elect to stay in Europe
So far there haven't been any big names among the players who will be playing in Europe this season, but they do exist. The Philadelphia Flyers alone are losing three players to this trend as Radovan Somik, Mattias Timander and Marcus Ragnarrson will all play overseas.
Florida Panther Andreas Lilja, a guy who was starting to come into his own in the league, will play in Sweden as well. Lilja's decision likely has more than a little to do with his involvement in a sex scandal while playing in Sweden last season.
I'll update this list as more players announce they won't be returning to the NHL.