A letter sent anonymously to Tennessee political and newspaper offices demanded $1 million to prevent their disclosure.
Romney's accounting firm, PricewaterhouseCoopers, said there is no evidence any Romney tax files were stolen. The letter asserted that the returns were stolen in late August during a Watergate-style break-in at the company's accounting offices in Franklin, Tenn.
A Tennessee Republican official, Jean Barwick, confirmed she received the letter and an encrypted flash drive, and said she turned them over to the Secret Service. But she could not confirm that copies of any tax returns were stored on the drive.
Secret Service spokesman Edwin Donovan confirmed the agency is investigating.