Matthew Henry writes:
This prediction of Christ's sufferings was plain enough, but the disciples would not understand it, because it agreed not with their notions. A little child is the emblem by which Christ teaches us simplicity and humility. What greater honour can any man attain to in this world, than to be received by men as a messenger of God and Christ; and to have God and Christ own themselves received and welcomed in him! If ever any society of Christians in this world, had reason to silence those not of their own communion, the twelve disciples at this time had; yet Christ warned them not to do the like again. Those may be found faithful followers of Christ, and may be accepted of him, who do not follow with us.
So Henry says they did not understand because it was not what they wanted to understand.
Cyril of Alexandria writes (SERMON LIII):
In order, therefore, that they might know what certainly would happen, He bade them, so to speak, store up the mystery in their mind. "For lay ye it," He says, "to your hearts." In which words, the "ye" distinguishes them from all others. For He wished indeed that they should themselves know what would happen, but not that they should communicate it to others. For it was not right for the unlearned to be taught simply His future passion, but far better, to convince them at the same time of His having risen divinely from the grave, and abolished death, and so avoid the danger of their being offended.
He says that Jesus knew that the disciples would worry and question their faith when Jesus was crucified, but so that they would not fall away, he told them exactly what would happen, that they might store it in their minds until the day when they needed to understand it, and it would be revealed to them at that point.
I think the answer is a combination of these two - that the disciples did not want to try to understand the evil that was ahead, but also that Jesus cared for them and showed it so they might not fear, but continue to trust in him while he was in the grave.
Additionally, I found this sermon that makes an interesting argument that the disciples were not yet saved. It makes some interesting points, but I am not sure I agree with the conclusions there, especially with some of the declarations the disciples made before this point and the faith they did have, as evidenced by the works they performed. The main points were:
Again, there is some useful commentary there, but I would be careful because some claims are made that do not seem to be supported by Scripture.