Our dear colpuck basically has it right, but there's a bit more to the story.

In connection with the late-1990s NWA equity transaction and alliance agreement, CO agreed to eventually join the NWA/KLM immunized North Atlantic alliance. For reasons never made entirely public, CO dragged its feet on seeking entry into the immunized venture. The best speculation on why CO dithered is: 1) the airline had decided by the early 2000s to focus on building nonstop access to primary and secondary European cities from Newark, and therefore had little interest in building a frequency-based air bridge that would have forced many pax onto less-desirable double-connection options via AMS; and 2) CO determined that NWA/KLM yields over the North Atlantic were significantly lower than CO's, meaning that CO would be turning money over to NWA/KLM with no real upside to show for it (as an aside, this reasoning is also largely why US has been kept out of the UA/LH/AC/CO immunized alliance).