Sinkholes are caused for a number of reasons. They occur when subsurface layers are dissolved (natural limestone erosion) or removed (example: mining). When the subsurface layer is removed, an area of open space appears, which then causes the surface above to sink into the giant hole.
This particular sinkhole is amazing due to it's size, it's position under a water source and it being caught on film! In the petroleum rich area of Louisiana, one reason for this particular sinkhole could be the collapse of a salt dome. Salt domes are often found near petroleum deposits.