I received a letter from my state asking for proof of taxes withheld from my wages, so I have to send my W2's to them and wait for them to process them. Why is that?

[JulieR]

It is not uncommon for taxing authorities, both Federal and state, to randomly select returns for review and verification.  The letter you received from the state should have a telephone number listed that you can call to get clarification and confirm the information they are requesting.