Everone says this because it is true. Photons do not have a "rest frame". There is no such thing as a frame of reference which "travels at the speed of light". One
does get total mathematical nonsense if one tries to pretend otherwise.
One can use the intersecting worldlines of photons to create a coordinate system, but none of the coordinates in such a coordinate system represent either time or space. Such coordinates are abstract, they are not associated with "duration" or "distance". They are so-called "null coordinates", and are talked about in some of the threads robphy cited.
Note that the science advisors in this thread are unanimous on this point of the nonexistence of "frames" traveling at 'c'. One can read the same thing in the sci.physics.faq on the topic
http://math.ucr.edu/home/baez/physics/Relativity/SpeedOfLight/headlights.html
and in most textbooks, too.