Why is this?

In MS-DOS, several special "device files" were available to aid in performing certain tasks, such as clearing the screen or deleting extraneous output from a program. In order to maintain backwards-compatibility, all versions of Windows up to and including Windows Vista will refuse to allow you to create a file with these "reserved" device file names. The following file names are all reserved:

CON, PRN, AUX, NUL, COM0, COM1, COM2, COM3, COM4, COM5, COM6, COM7, COM8, COM9, LPT0, LPT1, LPT2, LPT3, LPT4, LPT5, LPT6, LPT7, LPT8, and LPT9

CON, incidentally, was originally a device file used to capture whatever was printed onscreen.