ASP.NET MVC doesn't call global.asax' EndRequest

I am trying to perform some actions at the end of every request. I changed the Application_Start() that is generated when created new project to make a test:

protected void Application_Start()
{
    EndRequest += (s, e) =>
    {
        Console.Write("fghfgh");
    };
    RegisterRoutes(RouteTable.Routes);
}

The lambda won't get called. Any ideas why?

edit: I see that they are doing similar thing in SharpArch [http://code.google.com/p/sharp-architecture/] and it does work there... And no, I don't want to use an HttpModule.

edit2: The only workaround I found is to use Application_EndRequest in conjuction with a private static member of global.asax:

private static WebSessionStorage wss;
protected void Application_Start()
{
    //...
    wss = new WebSessionStorage(this);
    //...
}

protected void Application_EndRequest(object sender, EventArgs e)
{
    wss.EndRequest(sender, e);
}

wss must be private because it seems like the Application_EndRequest is being called using different instance object (this). That may also be reason of my event (as described at the beginning) not being called.