Server.Transfer in ASP.NET

I came across an interesting behaviour while working with ASP.NET this evening regarding Server.Transfer. What I have is an HttpHandler redirecting requests for HTML pages to the equivalent ASPX page. The problem arises when you want to redirect to a page that doesn't exist. I thought that ASP.NET would return a 404 but instead it throws an exception with a message "Error executing child request for ". If I drop the requested file into the directory where it's looking for, all is good. Question is, shouldn't ASP.NET return a 404 not found error?