THOUSANDS OF YEARS AGO IN THE YEAR 1981, in a FAR FARAWAY LAND where there was only the Kingdom of DOS 1.x and everybody lived by the creed of COMPATIBILITY WITH CP/M, you had reserved device names. They worked like Linux's /dev directory, i.e. where devices are a file, but in a more homosexual way. Your reserved device names were:
CON - console
COM1 COM2 COM3 COM4 - serial ports
LPT1 LPT2 LPT3 - paralell ports
NUL - bitbucket
Some had aliases, most notably
PRN for LPT1
AUX for COM1
These device names have their origin in CP/M nonmenclature, where CP/M only supported several fixed devices other than drives.
These reserved device names have been supported in all versions of DOS and every single version of Windows. Probably even Vista.
Later, when the Kingdom of DOS 1.x was overtaken by the Kindgom of Windows 9x, an exploit was discovered. You could tell someone to go to a website C://con/con and the user would get a BSOD. This is obviously due to a bug in handling this compatibility issue.
So, in preparation for the coming Age of NT-Based Kingdoms, Lord Microsoft decided as a safety precaution sometime between NT4 and XP to not allow files to be named those strings via Explorer.
tl;dr: It's because of DOS, and really it's because of CP/M, the latest and great thing of the 70s. DOS is not dead!