The proposed pan European "eurobond" would hide such market interest rate signals, crippling the proper functioning of European capital markets. Interest rates are simply the price of risk. Bundling all of Europe's sovereign risks together into common bonds can't remove the bad risks, it would only shuffle them around to hide them for a while.
See Der Spiegel's article "German central bank issues zero-rate bonds", which I acknowledge.
For more links also see the earlier post "Lenders pay to lend money to Germany".