You would need to direct your "Why" question to the state of Massachusetts. You should review your return to see if you indicated you had some tax withholding on a form other than those listed. If you did, determine whether it was a correct entry or inadvertent. If the former, you will have to mail your MA return. If the later, correct it and try to e-file again.
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I am encountering the same issue with my Indiana state return. Which leads me to think this is an Intuit problem and not a state problem. I did not have any of the forms mentioned in the message.
Sorry I retract. I am looking at the forms and I added taxes paid on internet purchases which do not show up on any form. Therefore, the program is kicking it out. I did not have this issue when I filed last year (at least I don't recall it). Anyway, that is what happens when you are trying to be honest. Most people will not even acknowledge their internet purchases.