Re reading it. Sounds like he just didn’t want her to know who he really was. Nothing incriminating about Natalee’s murder.
I doubt seriously there was anything incriminating about Natalee’s death, but I do not doubt there were articles and pictures about Natalee.
There could have been incriminating information about his life now. Natalee may have been the “safe” explanation, depending on who he works for.