nginx does not sent the response headers but only response body on 400 bad request.
e.g.
$ nc 127.0.0.1 80
GET HTTP/1.0
<html>
<head><title>400 Bad Request</title></head>
<body bgcolor="white">
<center><h1>400 Bad Request</h1></center>
<hr><center>nginx/0.9.1</center>
</body>
</html>