Why do not call overridable methods in constructors?

This is an oversimplified example, but I have some real-life code that conceptually does the same thing (trying to validate values "set" accessor methods of derivative classes), and the Analyzer gives me "Do not call overridable methods in constructors." I'm trying to figure out if I should change my code, or ignore the warning. I can't think of any reason I should heed the warning.

public abstract class SimpleUrl
{
    protected string _url;
    public abstract string Url { get; set; }
    public SimpleUrl()
    { }
    public SimpleUrl(string Url)
    {
        this.Url = Url;
    }
}

public class HttpUrl : SimpleUrl
{
    public HttpUrl()
    { }
    public HttpUrl(string Url)
    {
        this.Url = Url;
    }
    public override string Url
    {
        get
        {
            return this._url;
        }
        set
        {
            if (value.StartsWith("http://"))
                this._url = value;
            else
                throw new ArgumentException();
        }
    }
}