Answer
Women don't menstruate when pregnant because they don't ovulate, which precedes menstruation.
Work Step by Step
This is due to high levels of female sex hormones made during pregnancy, though, especially in the early months of a pregnancy, some women do have breakthrough bleeding at the time for a menstrual period, though much less than during a normal period. A few may even ovulate during the first month after conceiving--it's rare but known for a woman to carry two babies conceived a month apart.
