"That would be an enormous, enormous factor in what's going on now", he added.
Trump could appeal to the supreme court.
Trump appointee Neomi Rao dissented from the three-judge panel's ruling.
Lawyers for Trump immediately appealed to the US Court of Appeals for the Second Circuit, which issued a temporary stay of the judge's order.
Trump, the Trump Organization and the president's three oldest children have steadfastly refused to surrender their records to Congress.
The House panel has said it needed the records in part to determine if Trump - whose business interests have ranged from real estate and golf courses to a reality TV show - complied with laws requiring disclosure of his assets.
Breaking with four decades of presidential tradition, Trump has declined to make his detailed financial records public.
Democrats are investigating whether Trump inflated the value of assets to obtain loans and in April subpoenaed "statements of financial condition, annual statements, periodic financial reports, and independent auditors' reports prepared, compiled, reviewed or audited by Mazars". He lost in federal district court in May and appealed. Although acknowledging that the Committee is pursuing a "valid legislative inquiry", the dissent insists that the Mazars subpoena is nonetheless invalid because it "seeks to investigate individual suspicions of criminality against the President", an inquiry that "may be pursued only through impeachment".
She said if Democrats want to dig so deeply, they need to take the politically tricky step of launching impeachment proceedings. It could also grant a hearing and press pause on the subpoena while the dispute winds its way toward a final resolution in 2020 - while Trump is in the thick of a re-election fight. Allowing the Committee to issue this subpoena for legislative purposes would turn Congress into a roving inquisition over a co-equal branch of government. A ruling in the president's favor in this case would have been "a very significant change in the balance of power, because it would represent a significant narrowing of congressional subpoena power", said David Sklansky, a law professor at Stanford University.
Since clinching the presidency, Trump has argued that he can not disclose his returns, because he is being audited by the IRS - even though an audit does not prevent a taxpayer from releasing his or her own tax documents.
A lower court rejected Team Trump's argument.
On Oct. 7, the U.S. Second Circuit Court of Appeals in NY granted an emergency stay to Trump, who had asked the court to block a subpoena issued by Manhattan District Attorney Cy Vance. U.S. District Judge Victor Marrero threw out Trump's lawsuit on Monday, calling his claim that he was immune from investigation "repugnant to the nation's governmental structure and constitutional values".