Well, there are some rumors. Elephants have been heard to trumpet their discomfort with the message of the Grumpy Old Party. Frankly, they’re embarrassed at this point. The Republican Party of today no longer reflects pachyderm culture, values, nor their interests, which run to environmentalism and wildlife preservation and refuge. Would it really be a surprise if they decided to end their relationship with the Republican Party?
P. S. - Also, too, they're endangered enough on their own. They shouldn't have to worry about two kinds of extinction at once.