Why not make AJAX calls in the constructor of the React ES6 class?

Question

React docs says that I should make AJAX calls to set the state in componentDidMount (), and not in the constructor. According to all the examples I saw, I have to download data from the server:

constructor() {
    super();
    this.state = {toDoItems: []};
}

componentDidMount() {
    loadToDoItems()
        .then(items => this.setState({toDoItems: items}));
}

Why not just load the server data in the constructor, for example:

constructor() {
    super();
    loadToDoItems()
        .then(items => this.state = {toDoItems: items});
}