Because they did so well at it the last time?
Nokia was a great brand, and one of the first inventors and innovators in mobile technology. But their product fell behind to products from Apple and Samsung etc, and their hail Mary pass was to team exclusively with Microsoft with Windows Phone. Some may say that this was a bad choice for them, but I disagree. I think Nokia would have been hemorrhaging money equally if they had decided to build Android phones. And Google would not have come to their rescue. The fate of that Nokia would be that of Motorola, another very old brand name in mobile phones, that was purchased by Google for what one can only assume was the patent portfolio, and the parts that Google didn't want were later sold to Lenovo.
In 2016, Nokia can legally begin to start designing and building cell phones again. Except that all of the people they employed to do that are now Microsoft employees. Maybe some would leave and join this new Nokia venture, but they'd be starting at ground zero. No previous designs they could use. No patents they could employ to keep their costs low. No manufacturing, since those Nokia factories belong to Microsoft. They'd either need to start by building expensive plants, or just outsource that to Foxxconn or a similar company.
This new Nokia may make some people happy to see a phone with NOKIA emblazoned across the screen, but that phone won't have the soul of Nokia, it won't be of the lineage of the Nokia 3300, or the N8 or the Lumia 1020 or any of the iconic Nokia phones that people would be expecting.
Even though you write well, you are little off here. First of all Microsoft did not come to Nokia's rescue, Nokia FORCED Microsoft buy the heavy losses making unit, which is only the devices & services. There is proof of this to anyone by just looking at the terms the deal was made. Nokia kept EVERYTHING that matter. And I mean everything! Patents, the name, THE R&D, HERE, basically everything. Nokia’s board played the cards really well and Im sure they evaluated the Android route and knew, they will never reach a position in Android space where they can force Google to buy. Also many does not seem to take in to account few things in that scenario. MS paid nice money for the WP transition, they would have got nada from Google and HERE would have been something Google wants to see DEAD.
So Nokia did what they could, took over the Windows Phone space and then said to Microsoft we will go Android, this didn’t work well enough. That would have been the DEATH of Windows Phone and Microsoft had no choice. Everyone stand and applaud to Mr Siilasmaa and rest of the board for this play. 7bn for that is amazing. Amazing because what I said earlier, Nokia kept everything that mattered.
Now to the subject, would it be possible Nokia returns to the consumer space. Hell yes. But with just becoming another phone maker? No. Simple, that space is starting to die. Even Samsung are being pushed from all sides. Why would they enter there? But they do have the R&D, so they have the future of the mobile space. They will most likely enter in some form, either by licensing unseen tech to others, or making something themselves.
And by the way, outsourcing to Foxxconn or similar is the way to do it these days in the Mobile Phone space.
EDIT: When thinking about the future and Nokia, think this; They have the tower tech where devices connect, they have the R&D that has a huge potential in the future portables (and wearables) and they have one of the best positioning systems. All these combined, working together could make something that we havent even thought about yet. Just a thought, who knows what the future brings.