Nate Cohn tries to explain it:
Are there reasonable explanations for the gap between national and state polls? Nate Silver has covered a few explanations, but here's a more speculative possibility–and it is just a possibility. Simply put: campaigns might matter. There hasn't been a campaign where the battleground states have endured so many advertisements for so long before the rest of the country even began to tune in. This was also a campaign where the conventional wisdom has long held that attacks on Romney did alot of damage, especially in Ohio. While most of the country tuned in and saw Romney unadulterated by months of advertisements, voters in the battleground states might have more entrenched and cynical views of the Republican nominee.