Continuity mistake: After getting out of the oven in the machine, Rocky uses a towel to clean himself, but where did he get that? It wasn't there earlier, and it's not his handkerchief as Rocky is wearing it at the same time.
Continuity mistake: When Ginger is pretending that she had her head cut off, in one shot her red feathers are over her neck, but in the next they're gone.
Continuity mistake: At the very beginning of the movie, Mr. Tweedy goes to take Ginger into solitary confinement at night. Ginger's head changes position (rotates if you will) between shots.
Chosen answer: Because he wanted them all to have something to look forward to, he didn't want to let them down. Plus Rocky is very bigheaded, it would no doubt be embarrassing for him to admit that he couldn't fly.
THGhost