The suspicion that something was wrong. Lots of people, it seemed, believed Madoff was running some scam. Insider trading, front-running, something the “New York people” knew how to do that let them earn consistent returns for decades. They just never thought he was scamming them.
Most scams work by appealing to greed and larceny. The appeal to greed was certainly there, and the implicit he’s front-running was also bait.
“You can’t cheat an honest man” still has quite a lot of truth. If you park money with someone you think is breaking the law to goose returns, well, that’s hardly honest, is it? And it you think he’s crooked, then don’t be surprised if he tries to fleece you.
To be fair, some got suckered in by his feeder funds and networks. But still, they were agog by the return Madoff’s was (supposedly) producing. So many of them put all their money with him. That’s called greed.
There are two bedrock rules of investing that should never be ignored. 1) If it looks too good to be true, it probably is. 2) Never put all your money in one place.
And don’t get greedy.