Mike
I'm not sure what it could be exactly. But if he's eating well, and continuously losing weight, something may be missing from his diet (ie. mineral, vitamin etc. ) that they might get more naturally in the wild.
I used to keep exotic reptiles and they'd eat and seem happy although supplemented with vitamins and calcium, but over time they'd just suddenly get sick and drop dead. It's hard to mimic a natural diet/sunlight for captive critters.