That's not true. It DOES happen. Not everyone is the same. Blanket statements like this just don't hold true.
I know a woman who, yes, did know she was pregnant, but swears she NEVER felt the baby move the whole time. For what reason? Who knows. Her 2nd pregnancy the baby was very active.
A classmate of my son's was delivered into the toilet...her mother didn't know she was pregnant (and she always seemed pretty smart and educated to me.)
My sister met a woman in a doctor's office who just found out she was pregnant at about 6 or 7 months. She had started to gain weight, so she started an exercize program. She thought the fluttering she felt was muscle spasms.
My BIL's cousin was married for 20 years and had wanted children, but it never happened. At a holiday dinner at a relative's house, she went into the bathroom because she had "stomach pains" and gave birth to a baby. She was, actually, a very intelligent and educated woman.
I've also heard of larger women who know they're pregnant, but who lose weight during the pregnancy, or gain very little; surely that same situation could prevent someone from knowing that they were pregnant.
One of my best friends didn't know she was pregnant until 6 months...and this was her 4th baby. She was breastfeeding her 3rd, hadn't gotten a period, didn't gain weight, didn't feel any movement that she took for being a baby kicking.
Were any of these pregnancies like mine? Nope. I knew I was pregnant before I was even late.

I gained weight immediately, and my babies all weighed between 10 and 11 1/2 lbs at birth.
But just because the majority of women go through standard basic experiences with their pregnancies, doesn't mean everyone does. There are HOW MANY pregancies in the world year after year? There certainly ARE going to be situations where this can happen. There are MUCH odder medical occurrences than not knowing you're pregnant.