Although it is possible to conceive while menstruating, it is incredibly rare.
Menstruation is the process of expelling the unfertilised ovum and uterine lining from your body. This is typically an indication that any conception efforts have failed for the month. This is direct divergence with ovulation, which is the release of the eggs your body would use to create a foetus through fertilisation.
The circumstances under which you could become pregnant during your period are rare. In some cases, women have bleeding during ovulation and have mistaken that bleeding for their period.
In other cases, women have ovulated right after their period. Sperm can generally live in the uterus for about three days (and there are circumstances where the sperm could live up to five days). So if your ovulation occurs in close proximity to your menstruation, then hypothetically you could get pregnant as a result of intercourse during your menstruation.
Generally speaking, many men prefer not to have intercourse when their partner is menstruating. If your partner is not grossed out by the prospect and you would like to engage in intercourse and if you are trying to avoid conceiving, it’s best to take adequate precautions just as you would outside of your period.