Medically speaking Menstruation is not possible during pregnancy. However, some women do menstruate during the early part of the pregnancy. Some other experience spotting during pregnancy. There could be many reasons for it and some of them could be serious.
Normally women who experience menstruation during the earlier part of pregnancy, become pregnant very close to the start of their next period. Another serious cause of menstruation during pregnancy could be Ecotopic Pregnancy which is a very serious condition. In this condition, the fertilized egg implants itself into an organ other than the uterus.
Another dangerous cause of bleeding could be Miscarriage.