Why import by filename is not supported?

I want to import all python modules in a directory in python, and came across this snippet:

for name in os.listdir("modules"):
    if name.endswith(".py"):
        module = name[:-3]   # remove extension name for convenience.
        globals()[module] = __import__(os.path.join("modules", name))

program outputs:

ImportError: Import by filename is not supported.

How to I import file by filename?