It is a rule. You can find the rules in the Rules and Basics in learn.
Chess rules?
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The official rules are available here:
http://www.fide.com/component/handbook/?id=124&view=article
The rule you want is rule 3.9; it states:
3.9
The king is said to be 'in check' if it is attacked by one or more of the opponent's pieces, even if such pieces are constrained from moving to that square because they would then leave or place their own king in check. No piece can be moved that will either expose the king of the same colour to check or leave that king in check.
(Emphasis mine)
I was on tatic trainer the other day and even solved the problem first try, just the same I noticed that after reviewing the puzzle, it worked out that my Queen could have been taken by the King I was chaseing but did not because I had a Bishop in line with my Queen. The same Bishop was protecting my King from being in check due to anouther Bishop was lined up to put my King in check if it moved and that Bishop was backed by it's Queen. The question is, why could the King not take the Queen realizing it's only defence was the Bishop that was pinned? I asked a friend about it and he said it was the rule.If true, where does one find the absolute rules regarding chess?