I've had a rash of sellers (okay, maybe seven or eight in two months' time) lately sending messages after I've won their auctions asking to cancel because the item is "out of stock" but then send a PM saying stuff like, 'I've never done this before, but [insert random scapegoat here] really didn't want me to sell this" or saying they damaged the item during packaging.
I was refunded any money I paid, but then the sellers relisted the same items (I know they were the same because they had visible serial numbers that matched) with opening bids nearly double what I "won" the previous auctions for. There were no signs of damage for the ones who claimed damage, since they were relisted obviously they weren't quite the family heirloom that couldn't be parted with like some tried to plea. It's been frustrating to say the least.
I get why they're lying. Maybe the bids didn't get as high as they would like, but I would argue that's the nature of selling on eBay. You win some, you lose some. As a collector, I'm always looking for as low a price as possible (while still winning the auction, of course). As an infrequent seller, I can admit I've been underwhelmed sometimes by the final bid on an item, but I've never violated the contract and kept the bidder from acquiring it on the cheap.
Burn them. Give them negative feedback. They deserve it.