I've asked myself that question a thousand times and never come up with a satisfactory answer. It's one of the major weaknesses of III.

The best I can do (and it's pretty feeble) is that Michael saw Immobiliare as a way to launder the money he had left after selling the casinos, cashing out the other Dons and bribing the Vatican. Perhaps he thought he'd be subject to less scrutiny in Europe than in America, and the Vatican's imprimateur on Immobiliare would protect him.