I'm not sure why it is like this, but third-party tools exist that help. For example, right now I'm evaluating Visual Assist X (by Whole Tomato). We're also using Visual Studio 2005.
Don't feel hard-done-by, it isn't available in VB.Net either :)
C++ is a HARD language to parse compared with C# (VB too unless you've "Option Explicit" and "Option Strict" switched on, it's difficult to tell exactly what any line of code is doing out of a MUCH larger context).
At a guess it could have something to do with the "difficulty" of providing it.
P.S. I marked my answer as community wiki because I know it's not providing any useful information.
The syntax and semantics of C++ make it incredibly difficult to correctly implement refactoring functionality. It's possible to implement something relatively simple to cover 90% of the cases, but in the remaining 10% of cases that simple solution will horribly break your code by changing things you never wanted to change.
Read http://yosefk.com/c++fqa/defective.html#defect-8 for a brief discussion of the difficulties that any refactoring code in C++ has to deal with.
Microsoft has evidently decided to punt on this particular feature for C++, leaving it up to third-party developers to do what they can.
devexpress provides Add-in Refactor! for C++ for VS2005 and VS2008.
I've been using Visual Assistant X with visual studio for about one year and a half. It's an incredible tool that helps you a lot with ordinary C++ code, but it doesn't perform very well on templated code. For instance, you if have a sophisticated policy-based template design, it won't know how to rename your variables, and the project won't compile anymore.