Because print is not a function, it’s a statement, and you can’t have them in expressions. This gets more obvious if you use normal Python 2 syntax:
my_list=[1,2,3]
[print my_item for my_item in my_list]
That doesn’t look quite right. 🙂 The parenthesizes around my_item tricks you.
This has changed in Python 3, btw, where print is a function, where your code works just fine.