Charles Swindoll says they didn't believe it because had they believed they wouldn't have been walking away from Jerusalem. As far as they were concerned, the whole Jesus thing was over. He hadn't filled their expectations. They were expecting a Messiah, One who were free them from the bondage of Rome. What they missed is He did free them from bondage. The bondage of sin. And they missed it!
Jesus calls us to quit having a short sided, earthly, material view of His work. Instead, continue to see everything....and I mean everything in a spiritual light. Paul said in I Corinthians that he no longer saw anyone from an earthly point of view. And he admitted that he once saw Jesus like that.
So let's get rid of all our earthly expectations and try to walk with Jesus seeking what He's up to. Then our hearts will burn within us!