Because they're playing with fire.
You make your point well. But children should learn very early to stay away from the occult, particularly because children's literature, movies and TV are so full of occult practices and imagery today. Things have changed a lot since I was a kid, 30 years ago.
You might want to go into the Catholic Answers on-line archives of past radio programs and listen to some of the shows with Fr. LeBar, the exorcist for NYC, I believe. He says that many times those who become posessed began with "innocent" play with a ouija board. I've heard many stories of children of very young age (kindergarten) "playing Harry Potter" and casting spells on each other. Of course, most children won't become posessed, but demonic oppression to varying degrees is very possible.
Sure makes a great debate too - after a short respite following the release of HP#4, it's back with a vengeance in time for the movie!