Because the concatenation is done at compile time - so it's a single string literal that is created.
To be honest, I'd forget that syntax even exists if I was you - it's only of any use when you want to split a really long string over multiple lines to improve code readability:
printf("The Chronicles of Narnia\n"
"Chapter One\n"
"The Wrong Door\n"
"THIS IS A STORY ABOUT SOMETHING THAT HAPPENED long ago when your grandfather was a child."
" It is a very important story because it shows how all the comings and goings between our"
" own world and the land of Narnia first began.\n"
...);