PVS-Studio warning V509 for Source SDK

CNewParticleEffect::~CNewParticleEffect(void)
{
  ....
  KeyValues *msg = new KeyValues( "ParticleSystem_Destroy" );
  ....
}

This suspicious code was found in Source SDK project by PVS-Studio static code analyzer.
Warning message is:
V509 The 'new' operator should be located inside the try..catch block, as it could potentially generate an exception. Raising exception inside the destructor is illegal. Client (HL2) particles_new.cpp 92

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