There are times when it's useful to implement an interface that will be returned from within the class, but the implementation of that interface should be completely hidden from the outside world.
As an example - prior to the addition of yield to C#, one way to implement enumerators was to put the implementation of the enumerator as a private class within a collection. This would provide easy access to the members of the collection, but the outside world would not need/see the details of how this is implemented.