Notice that an object instance has no __dict__ attribute:
>>> dir(object())
['__class__', '__delattr__', '__doc__', '__getattribute__', '__hash__', '__init__', '__new__', '__reduce__', '__reduce_ex__', '__repr__', '__setattr__', '__str__']
An example to illustrate this behavior in a derived class:
>>> class Foo(object):
...     __slots__ = {}
...
>>> f = Foo()
>>> f.bar = 42
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
AttributeError: 'Foo' object has no attribute 'bar'
Quoting from the docs on slots:
[...] The __slots__ declaration takes a sequence of instance variables and reserves just enough space in each instance to hold a value for each variable. Space is saved because __dict__ is not created for each instance.
EDIT: To answer ThomasH from the comments, OP's test class is an "old-style" class.  Try:
>>> class test: pass
...
>>> getattr(test(), '__dict__')
{}
>>> getattr(object(), '__dict__')
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
AttributeError: 'object' object has no attribute '__dict__'
and you'll notice there is a __dict__ instance.  The object class may not have a __slots__ defined, but the result is the same: lack of a __dict__, which is what prevents dynamic assignment of an attribute. I've reorganized my answer to make this clearer (move the second paragraph to the top).