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I don't think that's quite what he said. From memory it was more along the lines of MPs will eventually have to release their tax returns for transparency, not that he wants that to happen.
EDIT: Yes, he doesn't want to be the only one not releasing it, he's not driving it. From the sounds of things he'll be making use of any possible mechanism to reduce tax. http://www.bbc.co.uk/news/av/uk-politics-36014438/all-mps-will-have-to-publish-tax-returns-rees-mogg
JRM did say a while ago that every MP should release their tax returns. Did he ever do it?