Sorry, I've been out. Not bluffing ;p
Here the spoiler begins. If you want to guess yourselves, do not read further.
So, what we THINK we can see, are two large triangles. But IN REALITY none of them is the real triangle. The hypotenuse side of the upper one is concave, whereas the second one has the hypotenuse side convex. So these aren't really straight lines but curves. The tiny space between these curves is where you loose the additional square.
You can check it by comparing the angles in small triangles (the red and the green). If you e.g. calculate some trygonometric function of one of the angles (of course not the right one), you will see that these triangles are not congruent and therefore cannot form the large triangle as it is shown in the picture.
Hope, it wasn't too complicated (I still got some problems with expressing mathematical ideas in English ;p).
And btw, it's 'he'