Newbie question about list method remove

[Sean Berry]

Why is this:

>>> li2 =['this.txt', 'that.txt', 'April04', 'more.txt']
>>> for item in li2:
            if ".txt" in item:
                li2.remove("%s" %item)
>>> li2
['that.txt', 'April04']

I would think that 'that.txt' would be removed as well.  Where am I wrong?

TIA