Because its an unterminated string literal.
The JavaScript parser takes a backslash at the end of an unclosed quotation as a line continuation of the string. But you can have backslashes inside strings, so if the backslash isn't the last character of the line, how is the parser supposed to infer that it means a line continuation?
For example:
// this is legit
var foo = "the path is C:\\Users\\bob";
// this too
var foo = "the path is \
C:\\Users\\bob";
// this is an error: unclosed quote, no continuation
var foo = "the path is C:\\Us
ers\\bob";
// your error case, altered slightly to clarify
var foo = "the path is\ C
:\\Users\\bob";
In the error cases the parser can't tell that backslash isn't part of a file path and was meant as a line continuation: it doesn't know what a file path is. It has no a priori knowledge of language, it has to be able to work with arbitrary sequences of characters. The fact that its whitespace doesn't matter, there's just no way for the parser to infer you meant it to continue the string on to the next line.
This is a frequent source of errors because you can't tell what the problem is by looking at the source code. As a less error prone alternative, you may use any of the following:
// concatenation
var foo = "the path is " +
"C:\\Users\\bob";
// Array.prototype.join
var foo = [
"the path is ",
"C:\\Users\\bob"
].join("");
// ES 6 template strings, note that whitespace is preserved
let foo = `
the path is
C:\\Users\\bob
`;