I think he is giving up his franchise with Anytime Fitness - i.e. he is ending his contract with them - or there might have been a limited time contract which he has chosen not to extend. So, now he is going to sell his club building, or the business, (or both together) on the open market. The name will no longer be Anytime Fitness. He wouldn't "sell it back to AF" because they probably don't actually own businesses (or not many) - just the franchises - like Macdonalds...