http://thehoop.blogspot.com/2008/11/pierce-to-retire-in-greece.html The Celtics will probably want to keep him unless something unexpected happens. If they don't, I can definitely see him moving to Europe to extend his prime. He wouldn't be the first one--Tom Chambers and 'Nique did so at the tailend of their careers as well.
He would have to get used to international rules but usually that hasn't stopped very talented Americans from making an impact in Europe. Pierce, even at age 36, could play very well in the Euroleague and A1 Ethniki.