I think he should have. Actually, i don't know the full story so he might have been right to leave, but in Italy the board's usually choosing the players, and he knew that, so maybe he should've accepted it and tried to work with what he has.
Ranieri took Sissoko to Juve, so it's not like Deschamps wasn't going to be given a chance to buy for Juve a player or two of his own.