[Stiglr]

It's because you have two line objects. Weld Vertices only works on multiples of vertices in the same object. You can snap together vertices from disparate objects, however.

Fortunately, you can still get what you want out of this.... simply select both lines in Object Select mode, and then in the menu, select Object > Merge (Ctrl+Shift+M). That will make the lines one object, and then you can successfully Snap Together and Weld.