Everyone else has theories of why Romney lost, and since I have no special experience or knowledge on the subject, I thought I would opine too.
Republican leaders were by all accounts genuinely shocked that Romney lost. Since most polls indicated that Obama had a small lead, and virtually all forecasting models predicted a large Obama electoral win, the leadership shouldn't have been surprised. They should have at least had a healthy uncertainty on who would win.
Republicans cherry picked their data. They used polls that weighted their results by assumptions of low minority and youth voting. You see, many polls aren't raw data because the data has been adjusted by models. Models shouldn't be used to predict the future as much as simulate what happens under given scenarios or assumptions. You should always question a model's assumptions. Always. But favorable assumptions generally get little scrutiny, in business as well as politics.
The cherry picking of polling data is emblematic of the current Republican Party: only watch Fox News, only listen to Rush Radio, only read the Wall St. Journal, only accept science that supports unlimited earth extraction, only accept economics that proves that smaller government is always better. This self selection bias of information means that one is less likely to see coming problems, and therefore one won't be prepared to avoid or mitigate the risks. If you think you are winning Ohio then there's no reason to change tactics, strategy, or message.
Underneath the cherry picking of information sources is the fundamental reason why Romney lost - the Republican Party does not allow dissent within its ranks. Dissent or even uncertainty is inconceivable because all consume the same information and opinions. One does not openly disagree on religion, taxes, immigration, science, polling, etc. Disagreement is heretical, worthy of scorn and even hatred. That creates a tighter unity in the Republican base than the Democrats. But it drives away those that aren't already in the base, such as minorities, non-Christians, scientists, etc. - even if they agree with much of the platform.
I doubt the Republican base can expand much until their source of information expands and allows the diversity and uncertainty of data that is reality. Until then, their ideology will continue to win elections in the smaller, homogenous populations of congressional districts, but they will tend to lose at the Senate and national level. Divided government will continue until primary voters realize that campaigns based on good government administration are more successful than ideology. Of course, corrupt and incompetent government will be punished regardless of ideology.