Earlier this month, we touched upon the neurological of einstellung, or how our brains get stuck on the first bit of information they come across, and tend to cling to that information even in the face of contradictory evidence. Magicians with good patter often use this to their advantage by telling the audience a version of what's about to happen that puts them in the right frame of mind for the trick to work.
So when Penn Jillette says he and Teller are going to make a chicken disappear, he's already telling you a story, giving you an idea your brain's going to struggle to shake, and setting you up for a mental pratfall. The trick works even if you're conscious of the attempt at manipulation and misdirection. In fact, that kind of short-lived hyper-awareness makes you even easier to trick. Our mind narrows as we focus; by looking for the vanishing chicken, you'll miss the second part of the trick entirely.
Performing magic essentially boils down to the control of information. What P&T demonstrate quite beautifully with this trick is that giving the audience information can be just as effective as withholding it.