>The regular Identifiers
>- Can start with letter, underscore (_), "at" sign (@), or number sign (#).
>- Can include letters, digits, "at" sign, dollar sign ($), number sign, or underscore
>- Cannot be T-SQL reservered word
>
>The rest are delimited Identifiers.
>See Using Identifiers in BOL for details.

So, a space is interpreted as illegal identifier thus why we need to encapsulate it with one of those delimiter. Thanks