Of course, if we consider that the Windows 3.1 floppy setup, Windows 95 CD-ROM, windows 98 and 98SE (the latter of which is bootable) All the way through to XP (at least) will in fact prompt if it detects a TSR program in the background with a message that I believe suggests that the machine may be infected.
And of course the BSOD also includes advice about viruses, I believe.
So yes, if we ignore all that then it's doesn't make sense.