why doesn't insert into foo delete from bar returning baz work?

While you can do

insert into foo (a, b) select a, b from bar;

and

delete from bar where a=1 returning a, b;

it fails to run

insert into foo (a, b) delete from bar where a=1 returning a, b;

This is not what I would expect. Is there a reason for it not working?

Cheers
Palle