Because I watched the movie again last night. Moulin Rouge is, of course, French. It translates as Red Windmill and is the name of a Paris nightclub with a red windmill on its roof (surprise!). It is also proof that any name in a foreign language can sound exotic.
The Moulin Rouge was built 120 years ago. In the beginning it was little more than a bordello with dancing but as time passed the dancing became more popular than the sex. Toulouse-Lautrec famously did paintings and poster art of the Moulin Rouge and its environs in its heyday.