I managed to get myself a 12,000 gold bounty after obliterating the city guard of Markarth (it would have been a lot higher, but I killed a lot of witnesses). This wasn't a problem, until I needed to talk to the court steward (Raerek?) for a quest related to the Stormcloaks. So, I figured I'd just pay off my bounty. I eventually found a guard I'd missed, or who had respawned, and he confronted me. He gave me the typical options, go to jail, pay the fine, or resist arrest. I tried to pay it off, but instead of accepting it he said something along the lines of not having the time to deal with me and to talk to another guard. He'd then end the dialogue and immediately reinitiate it.
After a couple tries I just selected the jail option, and moved on. But I just thought it was a bit odd I was unable to pay the bounty. At the point of this happening I was even head of the thieves guild, if that makes a difference.