He lived there for quite a while during the Olympics preparation, and there were reports he was considering running for Governor there. And as Rachel Maddow has discussed on her show, there is also evidence that he misled the people of MA about where he was filing his tax returns when he ran for office.
Joe Klein of TIME also refers to Utah as one of Romney's 5 home states.
3. New Hampshire (summer cottage)
4. California (mansion in La Jolla - only 100 miles away from Hollywood btw)