His preference has always been to stay on the east coast, but he has pitched for Arizona and Chicago in the past. Really he might not have many choices of where to go though. It’s hard to see Vazquez signing with an American League team.
One thing is certain, the Yankees have expressed no interest in bringing him back. They are also unlikely to offer him arbitration so the Yankees won’t be getting any draft picks for him. That may be one of the few things that make him interesting to teams.