I was just watching my local NYC affiliate for CBS, and they just announced that Bloomberg is leaving the GOP. The breaking news story didn't give a reason for why he's doing this.
It should be noted, however, that Bloomberg has recently been considering a run for the White House with speculation that he would run as an independent. I'll have further updates, and you can add yours too.
UPDATE:
Here are some links:
http://wcbstv.com/...
http://www.democraticunderground.com...
http://abclocal.go.com/...
http://cityroom.blogs.nytimes.com/...