He doesn't want Winterfell. It was his home, but the few memories he has of it are of people leaving with promises of returning that are broken. No, let Sansa have the old castle. He doesn't want a dreary castle full of ghosts and a dull, southron, highborn wife. He'd rather be free, stealing women in the cover of night. They say the Starks had blood of the First Men. Rickon Stark reckons that he probably has a touch of wolf blood as well.