Because that's one more request that your web server will have to handle. And, if logging is enabled, each of those requests will create a log entry for the 404

Because that's one more request that your web server will have to handle. And, if logging is enabled, each of those requests will create a log entry for the 404 error. And, apparently, to prevent the errant request from IE11, you have to add a specialized header for each response from your web server, requiring additional bandwidth of your web server and users.