Why HttpContext.Current.Session is null in Global.asax?

I’m using VS2010 and created a simple asp. web forms application, using Development Server to test it.
I try to store user data – queried from sql server – in the session, since I don’t want to access database in every request. I’m using the ‘Application_AuthenticateRequest’ and the ‘Session_Start’ methods.
First round:
AuthenticateRequest called. The following code ran: