Throw http exception (Unauthorized) from Application_Error

I am trying to throw this row from Global asax Application_Error

throw new HttpException((int)HttpStatusCode.Unauthorized, "Forbidden");

But for some reason I am getting 200 and not 401 in the browser, do you know why?

Update:

protected void Application_Error(object sender, EventArgs e)
{        
    throw new HttpException((int)HttpStatusCode.Unauthorized, "Forbidden");
}