And it turned out to be a disaster.
Gay obviously figured this time would be different, and this time -- this free-agent moment -- Gay re-signed with the Steelers, where he fits, where he's needed.
"Back like I never left," Gay posted on his Instagram account Tuesday at 12:15 p.m. "Thank you GOD for your blessing on me... Momma lets put the steeler jersey back on #22 and finish what we started."
The signing was later confirmed by the Steelers, who announced it was a three-year deal. Financial details weren't released.
The 31-year-old cornerback is all about team and winning anyway.
Back in March of 2012, after Gay had started a career-high 15 games at cornerback and the Steelers finished 12-4, he left in free agency for what appeared to be the greener pastures of Arizona. He signed a two-year, $3.2 million contract to play with his former DBs coach and Cardinals defensive coordinator Ray Horton, and his former teammate and Cardinals DBs coach Deshea Townsend.
Both teams, though, experienced lousy 2012 seasons. The Steelers slipped to 8-8 and Ken Whisenhunt's last Cardinals team went 5-11.
Gay had started 15 games for the Cardinals that season, which triggered an escalator clause that would pay him $3.23 million in 2013, so they cut him.
The Steelers picked him back up and returned him to the starting lineup where he's remained ever since.
Gay is a critical re-signing for a Steelers team that was looking at three of its top four cornerbacks hitting free agency on Wednesday.
Gay didn't allow a touchdown pass last season and will mentor what's expected to be a young group of cornerbacks this season that will be comprised of Ross Cockrell, Senquez Golson, Doran Grant and most likely a rookie.
Golson, last year's second-round pick, was on IR all season, and Grant, last year's fourth-round pick, took part in one defensive snap.
Gay has the league's longest active streak of consecutive games played among cornerbacks with 144. His two interceptions last season gave him nine with the Steelers and 11 for his career. His five interception returns for touchdowns tied him with Rod Woodson for the most in Steelers history.