There is no REAL answer to this. Studies are being conducted, and theories have risen.
"Some experts believe that the reduction in progesterone, in the week before menstruation, leads to more progesterone being broken down which signals the kidneys to retain water and sodium. As well as this, a water-retaining compound (an anti-diuretic hormone) may be secreted, which causes more water to be retained.
Other experts believe that PMS water retention is due to fluctuations in blood sugar. For example, when someone does not eat for many hours, blood sugar levels typically fall very low. This causes the body to secrete adrenaline, which tells the body to release stored sugar from cells in order to normalize the level of sugar in the bloodstream. However, when sugar is removed from the cells, they fill up with water, causing (it is believed) weight gain, bloating and water retention symptoms in premenstrual women. The point is, women with PMS tend to release adrenaline a lot sooner than do women at other stages of the menstrual cycle." http://www.annecollins.com/weight_health/water-retention-pms.htm