Blood plasma is mostly water, perhaps it is due to dehydration, and not the altitude itself.

I read about a fatality in Death Valley a few years ago, the guy collapsed less than 1/2 mile from his vehicle. The article explained he likely passed out due to being so dehydrated his blood thickened and couldn't get enough oxygen to his brain- if I am remembering correctly.

I'm sure someone will have a better, more technical, explanation later.

Living at altitude for a while does lead to a higher packed cell volume. Blood is a suspension, but it behaves with an apparent viscosity, and that viscosity can increase with stay at altitude.

In addition, clotting susceptibility may increase with altitude. Because people have gotten used to the misnomer "blood thinner," clotting tendency is often thought of as "thickening."
http://www.fvleiden.org/pdf/110.pdf

The last is controversial. Some maintain that it is really inactivity at altitude that cause clots to form in slow moving blood in veins (when blood is regularly pumping, the fibrin clots tend to tear apart before they can autocatalyze).