Clearly, answering the question is speculative for those of us outside Romney's inner circle, but I think there are probably five main possibilities to explain this strange secrecy.
1. Romney may not have paid any taxes. As Kevin Drum suggested yesterday, "[T]here are probably multiple years in which Romney paid no taxes at all. This would very definitively be a Bad Thing, so he really doesn't have any choice but to take the heat instead." This would also apply if he paid almost nothing in taxes, thanks to various tax-avoidance schemes.
2. Romney may have made even more money from Bain. Before his "retroactive" retirement, Romney made "more than $100,000" a year from his firm for, according to him, doing absolutely no work whatsoever. But as Michael Tomasky noted, we don't know how much more than $100,000 he made in compensation. If it's significantly more, that could be awfully embarrassing.
3. Romney may have had to pay fines. If he tried to skirt American tax laws in the past and got caught, the returns might show penalties, fines, and/or back tax payments.
4. Romney may have additional offshore investments. We know about the shell corporation in Bermuda, the cash in the Caymans, and the Swiss bank account because of the one year's worth of returns. If Romney considered himself an International Man of Mystery for a long while, there may be other foreign holdings he'd prefer to conceal.
5. Romney may have taken some problematic deductions. Did he give money to controversial charities? Did he take deductions on his family's fancy horses? Something else?
Of course, it's worth noting that these aren't mutually exclusive -- the returns, if we ever see them, may include some combination of these concerns, or perhaps even all of them.
http://maddowblog.msnbc.msn.com/_news/2012/07/17/12790075-romneys-rationale-for-his-hidden-tax-returns
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