Correct me of I'm wrong, but Memphis has no tradeable first round draft picks until 2017 (all they have right now is one first round pick in 2014 and one in 2016).
Pierce is a better player than Gay on a great contract. This means they have to trade more talent than Boston does to make this trade work.
Considering Pierce's age, Memphis is going to be reluctant to do so unless they trade talent they are sure they can't otherwise keep.