Eric Lippert already answered this way better than I could.
Check out his series on Covariance and Contravariance in C#
and
How does C# 4.0 Generic Covariance & Contra-variance Implmeneted?
EDIT: Eric pointed out that he doesn't talk about return type convariance but I decided to keep the link in this answer because it is a cool series of articles and someone might find it useful if looking up this topic.
This feature has been requested and almost 5 years ago Microsoft has responded with "Thanks for logging this. We hear this request a lot. We'll consider it for the next release."
And now I'll quote Jon Skeet because it would not be a proper answer on StackOverflow without an answer by Jon Skeet. Covariance and void return types
I strongly suspect that the answer
lies in the implementation of the CLR
rather than in any deep semantic
reason - the CLR probably needs to
know whether or not there's going to
be a return value, in order to do
appropriate things with the stack.
Even so, it seems a bit of a pity, in
terms of elegance. I can't say I've
ever felt the need for this in real
life, and it would be reasonably easy
to fake (for up to four parameters) in
.NET 3.5 just by writing a converter
from Func to Action, Func
to Action etc. It niggles a bit
though :)