If you live in a state with a lot of illegal immigrants, excluding yourself from the census could be a heroic act for the nation as a whole. Illegal immigrants prop up your state's population, trading-off with federal funding for other states that have a lower proportion of illegals.
States with rising populations (and being illegal doesn't matter) have been known to gain representatives in Congress while others lose some. Do we want Reps in Congress who have a large illegal alien population as constituents?