Selective prediction aims to endow predictors with a reject option, to avoid low confidence predictions. However, existing literature has primarily focused on closed-set tasks, such as visual question answering with predefined options or fixed-category classification. This paper considers selective prediction for visual language foundation models, addressing a taxonomy of tasks ranging from closed to open set and from finite to unbounded vocabularies, as in image captioning. We seek training-free approaches of low-complexity, applicable to any foundation model and consider methods based on external vision-language model embeddings, like CLIP. This is denoted as Plug-and-Play Selective Prediction (PaPSP). We identify two key challenges: (1) instability of the visual-language representations, leading to high variance in image-text embeddings, and (2) poor calibration of similarity scores. To address these issues, we propose a memory augmented PaPSP (MA-PaPSP) model, which augments PaPSP with a retrieval dataset of image-text pairs. This is leveraged to reduce embedding variance by averaging retrieved nearest-neighbor pairs and is complemented by the use of contrastive normalization to improve score calibration. Through extensive experiments on multiple datasets, we show that MA-PaPSP outperforms PaPSP and other selective prediction baselines for selective captioning, image-text matching, and fine-grained classification. Code is publicly available at https://github.com/kingston-aditya/MA-PaPSP.