It can't be atomic if it's done `CONCURRENTLY`. You can't even do that in a transaction, Postgres will tell you it won't work. By using `CONCURRENTLY`, you're making it clear that you will handle atomicity yourself, and as a result Postgres needs to provide you with the tools to do it.
The reason is to make sure aborting the command is fast and safe. PostgreSQL has no infrastructure for spawn background jobs to clean up stuff like this on aborted queries. A patch would probably welcome if it could be done in a good way.
