Guido van van Rossum answered it himself:

> But such solutions often lack "Pythonicity" -- that elusive trait of a good Python feature. It's impossible to express Pythonicity as a hard constraint. Even the Zen of Python doesn't translate into a simple test of Pythonicity...
>
>In the example above, it's easy to find the Achilles heel of the proposed solution: the double colon, while indeed syntactically unambiguous (one of the "puzzle constraints"), is completely arbitrary and doesn't resemble anything else in Python...
>
>But I'm rejecting that too, because in the end (and this is where I admit to unintentionally misleading the submitter) I find any solution unacceptable that embeds an indentation-based block in the middle of an expression. Since I find alternative syntax for statement grouping (e.g. braces or begin/end keywords) equally unacceptable, this pretty much makes a multi-line lambda an unsolvable puzzle.

http://www.artima.com/weblogs/viewpost.jsp?thread=147358

Basically, he says that although a solution is possible, it's not congruent with how Python is.