Think about it — obviously no one will buy a counterfeit "Starry Night" or whatever if it's hanging in a museum. But if it's stolen, all of a sudden there's the possibility that they can buy the original.
Not only that, but the counterfeit, created with extensive access to the original, is likely to be almost indistinguishable from it except by experts.
So the thieves steal the original, make a few copies, sell those for millions saying each is the original, then return the original to the museum. The best part is, the people who bought the counterfeits can't exactly go to the police. It's the perfect crime!
Sound crazy? This is what is speculated to have happened to the Mona Lisa some time ago.
The "Tony Soprano types" are probably more common - and perhaps less savvy - than you might expect. The type of person who thinks one can buy a hot van Gogh for a few million bucks is a pretty ripe target for counterfeiters.