Rated markets, perhaps, but not necessarily small towns. I've seen way too many stations go sports then go silent (or be sold to a religious group) because no one listened. After all, who in Bumscratch, Alabama is going to care about a panel on the Angels or Knicks? They are all about the local high school team and Alabama/Auburn. Everything else is an afterthought and I can't imagine it's much different in other small towns and cities in the 'flyover states' where pro teams are a several hour drive or more away.
That's not to say sports talk isn't popular in these areas, they just don't seem to support a whole 24/7 format. I don't know if they're still around, but I haven't heard a peep in ages from NBC Sports, CBS Sports and Yahoo! Sports, all recently-debuted (to me) sports talk networks that never gained any traction.
If sports is a money format, it seems to be so because of local, engaged hosts and not the networks. Or, at least not outside of ESPN and Fox Sports Radio.