It's because it can cause confusion. The only difference between example.com/file.zip and example.com.file.zip is one uses a . and the other a / but both are valid domains. If somebody isn't paying much attention or they don't know much about domain names, they could click thinking to get a zip file from a legitimate site and end up going somewhere malicious instead. No other TLDs have this issue (well, I guess .com technically has it but who the hell is downloading and running com files these days) and they're pretty much exclusively used for this reason so it's a good idea to block them just to be safe.