We've heard this chorus line before with the NHL in 2000 and the MLS in 2004.
One of the NHL teams was reportedly just using OKC as leverage to get public funding from the city they were (are still in) and were not seriously considering moving, it would not surprise me if that was the case in other cities as well. Between the time the arena was built (maybe even once construction was underway) and the Thunder arrived, the statistics of available sports dollars coupled with a new facility here would make it a convincing threat to any city wanting to keep a team in their city.