operator new has an implicit *sizeof(type), and during that operation there can occur an integer overflow.  Example:

int* foo() {
  return new int[0x40000000];
}

Compiled for a 32-bit target, this allocates 0 bytes.  Most compilers do not detect this either, but the Microsoft compiler instead generates code that in case of overflow generates an allocation for 0xffffffff bytes that will then fail.

g++ should also do that.  It catches many subtle security bugs, and it costs much less than for example -fstack-protector, which everyone agrees is a great idea.