1) The proof is incorrect (which of course means it is no longer proven)
2) The prover has a bug (most proofs are done automatically). This is possible, but many of the same formal methods are used on the prover, and it is often build on a human-proved proof at the bottom.
3) Mathematics (the whole field) is wrong. This seems unlikely.
In reality, the problem with formally verified software is generally that it must interact with non-verified software (and sometimes hardware - although hardware can be verified too).
The wikipedia page[1] I referenced is worth reading.