Mark 9:32

But they understood not that saying
Meaning either the whole of what he had said, concerning his delivery, death, and resurrection: and which then must be interpreted with some limitation; for they must understand the sense of his words, which were clear and express; especially concerning his death, which affected their minds with trouble and grief; for Matthew says, "they were exceeding sorry upon it", (See Gill on Matthew 17:23); but they could not understand how it could be, and upon what account, and for what end, so holy and good, and innocent a man as he was, could be put to death; nor how this could consist with his character, as the Son of God, the Messiah, and king of Israel; and with the notions they had of the Messiah's abiding for ever, and setting up a temporal kingdom on earth: or this may regard only his resurrection from the dead; which whether it was to be taken in a literal or mystical sense, they could not tell:

and were afraid to ask him;
lest they should be upbraided with their ignorance and stupidity, as they had been lately rebuked by him for their unbelief, and the neglect of their duty; and as Peter had been severely reprimanded for expostulating with him about the selfsame things, delivered by him to them, not before.