Exceptions thrown in asynchronous javascript not caught

Basically, why isn't this exception caught?

var http = require('http'),
    options = {
      host: 'www.crash-boom-bang-please.com',
      port: 80,
      method: 'GET'
    };

try {
  var req = http.request(options, function(res) {
    res.setEncoding('utf8');
    res.on('data', function (chunk) {
      console.log('BODY: ' + chunk);
    });
  });

  req.on('error', function(e) {
    throw new Error("Oh noes");
  });
  req.end();
} catch(_error) {
  console.log("Caught the error");
}

Some people suggest that these errors need to be handled with event emitters or callback(err) (having callbacks with err, data signature isn't something I'm used to)

What's the best way to go about it?