I think it was the writers' choice and I think he probably learned it growing up on the streets in NY
actually read a fic where he learned how to play cards from his mom and one of his mom's better boyfriends
but oh man I love his disappearing coin trick too
it does fit his personality though
I still think it's funny when Milo went on Gilmore Guys and they asked him about the close-up magic he said "I had to learn that **it!"