If that visitor wasn't convinced enough to buy and was just researching the market, they would leave anyway. The only way you can receive a benefit from a visitor leaving is through a reciprocal link of one form or another. The reason we call them visitors is because they all leave at one point or another, with or without our product. Sure you may lose a link once in awhile, but it shouldn't be that big of a deal, because you are still adding value to your visitors and that is important too. There is a variety of forms for exchanging links.
Links can be banners or text.
They may lead to a site, an email address, or an auto responder. In exchange, you could receive any of these in return. You could choose to use one or all of these methods depending on your needs and the needs of the other site. You can just list them randomly, first in, alphabetically, placed in a searchable directory, or spread throughout your site. Choose the method that works best for your product and your presentation.