Lyme disease can cause a type of arthritis and it was hypothesized that the vaccine might result in a similar autoimmune response in certain genetically-disposed individuals. There are many more details about Lymerix and what happened here: http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2870557/

[EDIT: Just to be clear though, there was no evidence in the numbers that the vaccine in fact caused arthritis.]