Why is an out parameter not allowed within an anonymous method?

This is basically to do with the fact that parameters of an anonymous delegate/lambda expressions are captured variables, and capturing ref/out variables doesn't make any sense in C#/the CLR, since it would require ref/out fields internally. Also, note that I pair both these keywords because they are effectively the same.

If you want a complete explanation, Eric Lippert discussed this design point in detail on his blog. (See the paragraphs near the bottom in particular.)

The only difference between out and ref parameters is that an out parameter will have an [out] token applied to it. They're the same thing as far as the CLR is concerned.

In order to implement it, the compiler would have to generate ref fields, which are not supported.

If you think about it, you'll realize that it makes no sense to allow an anonymous method to use an out parameter.

What would the following code to?

static Func<object, object> Mess(out object param) {
    param = "Original";
    return i => param = i;
}
static Func<object, object> MessCaller() {
    object local;
    return Mess(out local);
}
static vouid Main() {
    Console.WriteLine(MessCaller()("New"));
    //The local variable that the lambda expression writes to doesn't exist anymore.
}