Having done some basic research, there appears to be quite some anecdotal weight behind this phenomenon, though very little scientific support. My initial thoughts would be that there may be some essential oil that is present within the conker which spiders find repulsive. There are many insects that dislike various "smells", and perhaps this is the one for spiders. The efficacy of the conkers reduces over time, which suggests that there may be some chemical that is released but which loses its volatility with time. However, without any evidence, I wouldn't want to state that this was a genuine effect as yet.