While the cited behaviour is really astonishing, as a EU citizen, I must say that I still find it very curious that somebody drives around the country with that large amount of cash. I'd never (and most people here wouldn't either) travel with more than, say, $1000 in cash, and I would rely on ATM/electronic transactions/checks for additional money. Surely it wouldn't be illegal in any EU country that I know of (but…
The us doesn't have wide spread fast direct money transfer. So cash is a good way to get stuff done in many cases. Such as buying a car.
The only reason to carry this much cash across multiple state lines I can imagine is him not wanting to leave a paper trail and withdrawing large amounts outside of his home state.