good question.
Here's my thought process:
If somebody tries going to /phpmyadmin and it says "forbidden" they know it's there
but if they get an authentic 404 even though it is there and is forbidden, it could deter them from trying harder to access it through other exploits.
I got this idea from a phpbb3 mod that does a sort of the same thing but only relative to its own system.
http://www.phpbb.com/customise/db/mod/anti_snooping/