That's an interesting question. If he really is walking towards the sideline, and has no intention of being a part of the play, I'd have a hard time penalizing him for catching a ball - we're saying that he should just let the ball hit him in his face? IMO what he does after the play is what matters, if there's a football move, or similar, yes I would agree that is a foul. But I think someone reactively catching a ball thrown to them who has essentially declared they are not participating, then they do nothing, IMO this is not a foul. It's not his fault the ball was thrown to him.