There are no rules, only loose conventions, formed for brevity, convenience and ease of mental parsing.
The convention has been modified for the years 2000-2009 (two thousand and nine), just as it has for 1000-1009, probably for the reason Nav mentions - it just parses nicely that way to an English speaker. You can expect every year from 2010 (twenty-ten) onwards to soon revert to the conventional form in common parlance, which has the advantage of being shorter and distinguishes centuries from one another very clearly.
Worth noting is the fact that the years 1-999 are usually suffixed with "AD" to make it clear that we are talking about a year rather than an arbitrary figure. Post-1000 years do not require this verbal signposting as the use of this unusual convention makes it clear that these are years.