if you ask me, I guess those people are using their illegal money to buy Bitcoin. when someone don;t pay taxes for his/her income/investment/property - that profit is actually illegal.
People have to obay the rules and regulation and low of their country otherwise they will be punish for that. In fact if a government will turn bitcoin as illegal then undr the tretory of that country you are not allowed to exerciese it, therefore people are worring about if their governemnt will turn bitcoin as illegal then it will become difficult for them to use bitcoin as openly as they were using it before.