Menstruation is the roughly monthly cycle of proliferation and secretion of the uterine wall, punctuated by the regular discharge of blood and endometrial lining of the uterus (menses), experienced by most women between puberty and menopause. In some women (who usually suffer from anemia) hemoglobin and red blood corpuscle (erythrocyte) counts drop enough to slow the healing of wounds, including piercings, tattoos, and other body modifications. That said, it's not a noticeable problem in most women, and for the majority of women there is no physical reason why they can't have body modifications performed while they are menstruating.
However, on a social level, nearly every culture on the planet has had various "unclean" stigmas regarding menstruation throughout all of human history, and those stigmas certainly persist today. Whether you agree that necrotic tissue being expelled from a vagina is "gross" or think that notion is old fashioned, the fact is that most people (and certainly the vast majority of men) do still hold these beliefs. As such, unless your piercer has specifically let you know that it doesn't make any difference to them, it is generally considered extremely rude to go in for a genital piercing while menstruating. Most piercers are polite enough not to say anything and will still do the piercing even if they are bothered by it. Still, it is considered rude.