"I Want to Know Why" illustrates the difficulty of idolizing someone. The protagonist learns a useful lesson; while it is a harsh lesson, it will prepare him for future disappointments. What is the difficulty that one has when one idolizes someone? What useful lesson does the protagonist learn in this story, and how this lesson prepares him for the future?

There are difficulties that arise when someone is idolized because idolizing means turning someone into an object of reverence; it is an act of judging someone as possessing some extraordinary quality. Often, this judgement places expectations around the person being idolized like a box of impossible standards that must be fit into. This is partially why the protagonist is disappointed when he idolizes Jerry Telford: he has put Jerry in a box of what he wants him to be—having projected his own passion for horses onto Jerry just before the race—and when Jerry does not continue to embody that passion, the protagonist becomes disappointed.
The protagonist makes his error in assuming what Jerry is thinking and feeling just before the race:

I was standing looking at that horse and aching. In some way, I can't tell how, I knew just how Sunstreak felt inside . . . he was just a raging torrent inside. He was like the water in the river at Niagara Falls just before its goes plunk down. That horse wasn't thinking about running. He don't have to think about that. He was just thinking about holding himself back 'til the time for the running came. I knew that. I could just in a way see right inside him. He was going to do some awful running and I knew it. He wasn't bragging or letting on much or prancing or making a fuss, but just waiting. I knew it and Jerry Tillford his trainer knew. I looked up and then that man and I looked into each other's eyes. Something happened to me. I guess I loved the man as much as I did the horse because he knew what I knew. Seemed to me there wasn't anything in the world but that man and the horse and me. I cried and Jerry Tillford had a shine in his eyes. Then I came away to the fence to wait for the race. The horse was better than me, more steadier, and now I know better than Jerry. He was the quietest and he had to do the running.

The protagonist makes a double assumption in this section of the story. He assumes what the horse is thinking and feeling, saying that he has a "raging torrent inside" and that he wasn't "thinking about running" but about "holding himself back 'til the time for the running came." He also assumes that the horse is humble about his ability to run so fast—that it only desires to run instead of to win, which would be an impure motive in the boy's eyes.
The second assumption he makes occurs when he looks into Jerry Tillford's eyes, assuming that Jerry shares the same appreciation for the horse and racing as a sport. He does not consider that Jerry may be emotional because he feels pride in himself instead of in the horse. Jerry's eyes may really shine with the lust of his desire to win and with the pride of feeling he deserves to win. The horse may just be his means to that end.
The protagonist worships the sport of racing the way many young people worship sports or hobbies. Projecting these thoughts and feelings onto the horse satisfies the boy's soul because, in his mind, the horse shares his passion for horse-racing. This is similar to how people who admire NFL athletes for their talents assume the athletes love playing the sport as much as the fans love watching it—and are disappointed if they retire early or contract with a different team for higher pay.
The protagonist is disappointed when he sees Jerry Tillford bragging to a whore, who Jerry looks at with the same lust shining in his eyes as just before the race. In this scenario, Jerry has a different desire he is lusting for, and he brags about winning the race to trump up his ego, to feel that he "deserves" the woman's physical love because he is a winner. The boy's delusions about Jerry are shattered in that moment of realization; the boy has set himself up for disillusion by projecting his own thoughts and feelings onto the grown man.
The protagonist is therefore prepared for the future in that he will not assume everyone thinks and feels the same way as himself about the sport he loves—or probably about anything. The "magic" of the race environment is broken at the end of the story because the boy is no longer caught up in the delusion that everyone shares his experience of being at a horse-race and not everyone considers horse-racing as something pure and worthy of reverence.
We should be careful in making assumptions about what others are experiencing. Instead, we should allow people to have their own experiences of a moment, seek to understand their experiences, and enjoy the fact that everyone experiences the world differently. Most importantly, we should take care not to idolize those we look up to, because idolizing them places them in boxes that limits their individual complexity.
For example, consider film actors who suddenly step out of their expected role type, celebrities who dramatically change their physical appearance, or child actors who struggle with some vice in adulthood. What they do at one point in their lives does not negate what else they have achieved or other aspects of who they are. But, because audiences tend to idolize them and box them in with ideas about what they should be, such things become tabloid-worthy gossip. Audiences are shocked that their idols are not who they "pretended" to be when, in reality, the identities of these complex individuals were merely oversimplified delusions created in the minds of people who do not really know them.