Because the console (ie keyboard + screen) is called con: and because of some historical features in the way DOS was written you can't have a file with the same name.
You also can't have a file called com1: lpt1: and a couple of others
Alt+0160 inserts an invisible space character. You will be able to access this folder through the GUI, but software will not be able to find it unless you remember to include the ALT+0160 character in the filename reference.