He clearly doesn't like Massachusetts. He's publicly stated that he would have been better off running for Governor in Michigan. He's made statements that made me believe that's where he'd center his Presidential campaign; a state he'd actually have a small chance to win - because he's certainly not going to win in Massachusetts. (Indeed, many voters would relish the chance to vote against him - repudiation or schadenfruede?)
We're the butt of his jokes, but he's apparently planning to stick around anyway.
In some ways, the location makes sense. Massachusetts has a whole host of political operatives that are well versed in Presidential Elections. This state has actually made it into a whole sector that comes alive for two years out of every four. It hasn't helped too many Democrats lately, but even Republicans have employed our services.
It's still an odd choice, though, as these kinds of political operatives will travel. Mitt has some clear disdain for this state (hence masochism is an apt description for Willard) and he won't win Massachusetts - it won't even be close. Massachusetts doesn't like Mitt Romney - otherwise, he would have ran for reelection. A state like Michigan would have been a better option for the Mittster, but I'm all about him making a POTUS-scale fool of himself... so I'll just shut up now.