“I honestly, honestly had nothing to do with TJX. I have no faith in the ‘justice’ system. Perhaps my actions today, and this letter, will send a stronger message to the public. Either way, I have lost control over this situation, and this is my only way to regain control.” James’s suicide note.
EDIT: Now that I'm looking a little further into the case...
He was apparently raided by the FBI two weeks prior to the suicide during an investigation in the TJX hack. During the raid, the police found another suicide note that James had written several years prior. His suicide note[2] spends the first page and a half talking about something that's been redacted, then the next page and a half talking about some background on the TJX case, denying that he had any connection and noting the fact that one of the other suspects (Chris) had been arrested and subsequently released. He believed that meant that Chris had tried to pin the blame for the hack on him, and he believed that the FBI would be looking to arrest him for a crime he didn't commit.
[1] http://www.wired.com/2009/07/hacker-3/
[2] http://www.wired.com/images_blogs/threatlevel/2009/07/jamesn...