The simplest answer is because the iPOD software detects that it is unsafe (read: data loss) for your iPOD, Computer or both if you were to disconnect the cable without ejecting the device first.
Here's what to do:
On the Mac--
- Click on the Finder icon
- Pick the iPOD icon.
- Navigate to the File menu--select Eject iPOD
On a Windows OpSys device--
- On the Start menu, click Computer (e.g. Windows 7).
- Right-click on the drive/device letter or iPOD icon (read: the icon doesn't always appear)
- Select Eject.
The message should go away while you're still plugged in. You should be able to charge and listen at the same time! :)