All such things are optional. If it makes him/her happy and doesn't upset anyone else, why not?

Why not? Just as we call a retired Judge as Mr.Justice, a Retired Army General as a General there is nothing wrong in calling a retired Airline Captain as "Captain". This is only a honorific title.

In commercial aviation, a pilot in command who is required to hold an airline transport pilot certificate and is in command of a large aircraft operated by an air carrier is referred to as a "captain" (although sometimes as "commander"). The practice began with Pan American Airways in the 1930s. Juan Trippe, Pan Am's president, correlated the responsibility and authority of his flying boat commanders with that of a maritime merchant ship's captain. The practice quickly spread to most of the airline industry and continues to the modern day. Nautical terms are ubiquitous in aviation, not the least among them are nautical style ranks and forms of address. Most airline captains wear uniforms with four stripes (or bars) on the sleeve and shoulderboard (emulating the rank insignia of both the U.S. and Royal Navies), although this practice varies among companies. Traditionally, pilots-in-command sit in the left hand seat of a fixed-wing aircraft and the right-hand seat of a helicopter. Letitia Baldrige, an American expert on protocol and etiquette says that, like merchant ship captains, airline captains should be addressed both professionally and socially by his or her rank, as in "Captain Edward Musick." Following a tradition established in the maritime service, where only captains and ship's physicians are addressed by their rank, in commercial aviation too, only the captain is properly addressed by his or her rank. All other officers are addressed as "Mr" or "Ms." Unlike military ranks which are temporary in nature, Nautical and Aeronautical Captains retain the title for life.

Why not? He has earned the title and even tho he's now retired, it is a sign of respect for what he obtained. I also call retired military officers by their rank when addressing them; it's a sign of respect. Why else would their rank be on the decal that allows them access to military bases and the car is saluted?