I’d guess because CPython is assuming the input to -c is ISO-8859-1 (Latin-1) when it decodes it using Py_DecodeLocale():

    main()
      …
      setlocale(LC_ALL, "")
      …
      argv_copy[i] = Py_DecodeLocale(argv[i], NULL)
        …
        mbstowcs() or mbrtowc()
        …
      setlocale(LC_ALL, oldloc)
      …
      Py_Main(argc, argv_copy)

While the REPL’s encoding (sys.stdin.encoding) is set to UTF-8 due to LANG/LC_CTYPE settings. You can get the same error when invoking the REPL as:

    LANG="en_US.iso8859-1" python2.7

So the shell isn’t doing anything to the text—it’s providing UTF-8 bytes in both cases, it’s just that Python is interpreting them differently.