Because they need to learn some self control and to deal with frustraton.
It is completely ok for someone to want something, but what happens if you cant get it? Kids usually will scream, cry and get mad until they get it, but what happens if we appy the same case on a grown up? In real life you can't just cry around to get something.
I'd suggest though, that instead of teaching them they cant have something, explain them they need to earn it and work for it, for example, save money from their allowance, pay them for some small tasks that would be appropiatte. Like, they can clean your car so intead of paying the car wash company you can pay them, and so on.
That way they'll probabbly become better persons once they grow up, that anything can be achieved, as long as you work for it and not just wait until it gets from the sky.