Well, perhaps he's got enough wealth saved that he worries about it getting taken by estate taxes.
Do not be surprised if the next president, whoever he is, because he's going to find it harder and harder to find money to pay the bills without stealing it via taxes, gets rid of or greatly reduces any estate tax "exemption" and ratchets up death taxes. If it's BO, I'd almost guarantee it (who is going to be more attractive targets for "tax the rich to pay the poor" than the useless heirs of those rich?) But Romney, despite his campaign rhetoric, his silver spoon and all, will be forced to play the "increase tax" card when bond ratings fall, deficits approach multi-trillions per year, etc.
So he could be thinking, lets do what rich people always do .... put the money in a trust where the estate taxers can't get it.
That would be my bet.
Of course, if he were really smart, he'd probably be better off moving to Ecuador or Uruguay.
And do not be conformed to this world, but be transformed by the renewing of your mind, that you may prove what is that good and acceptable and perfect will of God.
Romans 12:2 (NKJV)