"Anyone knows why this happens?"
Because the leading '-' character in the filename means that it is not a valid filename. Using a leading '-' is a syntax that indicates the start of an option, and is not valid for filenames: "File names must start with a letter, and can contain letters, digits, or underscores."
Note that save will not accept that name either. The reason for this is that .mat files, like function names, are closely tied up with the language syntax and MATLAB operation, and must follow the rules of the language.
