Others have already explained the issue with your code. For your task, a generator expression is easier and less error prone.
>>> text = "Hey look Words!"
>>> ''.join(c for c in text if c.lower() not in 'aeiou')
'Hy lk Wrds!'
or
>>> ''.join(c for c in text if c not in 'AaEeIiOoUu')
'Hy lk Wrds!'
however, str.translate
is the best way to go.