Mark Kelly is wonderful and would make a great veep.
Arizona state law requires the governor to appoint a replacement senator of the same party (and anyway, the current governor is a Democrat), so it wouldn’t immediately cost the Dems a senate seat.
But the seat would open up for a special election in the next general election. Arizona’s purple enough that without Kelly (who’s both popular and incumbent), that the seat wouldn’t be safe. So tapping Kelly would be a high-risk choice.