Well, because a comma is a punctuation mark indicating that some sort of idea or statement is being continued, where as a period means an ending. 1,239.95 is "one-thousand two-hundred thirty-nine" for the whole portion of that number; that's a complete statement. Then, once the statement of the whole number is finished, a second statement is attached: the tenths / one-hundredths / etc. portion of the number.
For "1 249,95", that seems utterly confusing to me in two ways. First, a space seems totally illogical, because a space indicates a break between separate items. Also, what if, just trying to come up with an example off the top of my head, I say "I have 12 249,95 price tags", and I saying that I have price tags with the value "12 249,95" on them, or that I have twelve price tags with "249,95" on them?
And, again, a comma is used for continuation, and it makes little sense for me writing "249,95" because that seems like one whole, large number.
Not saying one is "wrong" or the other is "right", just that, even beyond the way one or the other is taught, the basic rules of punctuation (so far as they are used for written English, or at least so far as I've ever been taught in use for written English) makes one of those two methods seem totally illogical to me.