Because prayer isn't a tool for us to get what we want. Prayer is prayer not a Internet order form, not a 1-800 number to God Services, not an line to the help desk in the sky.
Prayer is a human's relational connect to the Creator. It's about listening to God as much as (arguably more so) a way of petitioning God.
I know the Bible says Ask and it will be given to you and with prayer and petition make your requests known to God. In that light, we should know that God wants us to make requests and, in context, when we ask for holiness, God will give it to us. But these verses don't paint a pragmatic use of a get what you want service.
Look at the Ask, Seek, Knock passage in Matthew 7:7-12. The passage is sandwich between a passage on not judging others and the narrow gate to God. It isn't about God's willingness to give us whatever we want. It is about God's desire to give us holiness and is desire for us to ask for that. The only way to interpret this passage differently is to look at these things as unconnected thoughts. But they are connected.
Likewise, Philippians 4:6 does say make your request known to God, but the only promise is that God's peace will guard are hearts. Again, in times of trouble, God is offering us holiness, not our desired result.
So what's wrong with telling a child that prayer works? It's wrong because from a human perspective, often prayer doesn't work. Many times people, godly people with good intentions and solid faith, don't get what they hope for when the pray. Paul didn't! The Apostle prayed many time for the thorn in his flesh to be taken away (2 Corinthians 12:7-8). I don't know that it ever was. Why wasn't it taken? Because, Paul concluded, it was a messenger for Paul to understand God's grace, a messenger for Paul to become more holy.
If you tell a child that prayer works and they pray for a puppy, they expect a puppy. If the puppy doesn't come, the God either doesn't care or isn't capable. What if the desire is less selfish? If a child prays for his mother to be healed of cancer and the cancer doesn't go away, again God is either uncaring or incapable. Many many times prayer does not work.
Don't tell a child that prayer works, rather tell them the value of prayer as a relational tool. Tell of the wonder of being able to talk to or listen to God, the maker of all things. Make prayer a matter of wonder in the eyes of children. Don't cause a child to stumble in his faith by misrepresenting prayer, but give them the excitement to be in the presence of God and the hope of realizing ever increasing holiness in his life. But even then, let a child know that sometimes when we pray, God doesn't seem as close as we want, but that doesn't mean he's not their. Our feelings can hide the truth also.
