This is by design and documented:
http://docs.python.org/reference/lexical_analysis.html

"""
String quotes can be escaped with a backslash, but the backslash remains in the string; for example, r"\"" is a valid string literal consisting of two characters: a backslash and a double quote; r"\" is not a valid string literal (even a raw string cannot end in an odd number of backslashes).
Specifically, a raw string cannot end in a single backslash (since the backslash would escape the following quote character). Note also that a single backslash followed by a newline is interpreted as those two characters as part of the string, not as a line continuation.
"""