Cohen said that he didn't actually think Trump's tax returns were under audit during the 2016 election, contrary to what Trump has long claimed. 

"I asked for a copy of the audit so that I could use it in terms of my statements to the press. And I was never able to obtain one," he said in answer to a question about whether Trump's tax returns were, in fact, under audit by the IRS. 

Trump refused to release his tax returns while running for office because he said they were under audit. He has never released them.

Trump is the only major party nominee of the past 40 years to not release his tax returns.