Pure-state quantum trajectories for general non-Markovian systems do not exist

Since the first derivation of non-Markovian stochastic Schr\"odinger equations, their interpretation has been contentious. In a recent Letter [Phys. Rev. Lett. 100, 080401 (2008)], Di\'osi claimed to prove that they generate "true single system trajectories [conditioned on] continuous measurement". In this Letter we show that his proof is fundamentally flawed: the solution to his non-Markovian stochastic Schr\"odinger equation at any particular time can be interpreted as a conditioned state, but joining up these solutions as a trajectory creates a fiction.