Why do people visit a website? To find information. Thus, when you publish a page to announce that the information is not there (yet) you are wasting your visitors time. Instead of creating the actual content you wasted time while your were creating an under construction page. A loss-loss situation instead of a win-win one.
Admitted, in some cases it can be helpful to give your visitors an idea of what they can expect (eg: links to articles that are not written yet appear in red in the Presentation Patterns wiki), but in general: Under construction pages stink. And here is someone who shares that feeling: This icon says more about me than it does about my web page.