Because you'll get W precision lost (division by ZERO)!!!
Minimum recommended near clip plane settings == 1.0
Your value of 0.1 will probably lead to Z artifacts at way to FAR Z-plane too.

Matrix used for D3DXMatrixPerspectiveFovLH:
Code:
w       0       0               0
0       h       0               0
0       0       zf/(zf-zn)      1
0       0       -zn*zf/(zf-zn)  0
where:
h is the view space height. It is calculated from 
h = cot(fovY/2);

w is the view space width. It is calculated from
h = w / Aspect
If you look at "-zn*zf/(zf-zn)" with Znear == 0 you will get W~0. So later in pixel pipelene you Z value will be calculated as Z=Z'/W -- where Z' - is camera space Z -- so precision lost.