After leaving the region of Caesarea Philippi, Jesus and His apostles passed through Galilee on their way to Capernaum (cf. Mark 9:33). Jesus is seeking privacy at this time. He doesn't want to draw a lot of attention to Himself as He desired time to give instruction to His apostles.
"The Son of Man is being betrayed into the hands of men, and they will kill Him. And after He is killed, He will rise the third day" (Mark 9:31). Jesus used the present tense when speaking of His betrayal--as if it was happening as He spoke. Certainly He did this to express the nearness and certainty of the event.
It is interesting to observe how Jesus' teaching regarding His death, burial, and resurrection grows clearer each time He addresses the subject (cf. 8:31). This time He mentions the fact that He would be "betrayed."
Though they do not understand, Jesus is gradually preparing his apostles for His departure via these prophecies. He wants this message to really "sink down" into their ears so that they will remember it (Luke 9:44). If they would remember it, they would later understand it and be strengthened by it (cf. Luke 24:45).
The disciples struggled to understand Jesus on this point because they didn't want to accept the literal interpretation of His words. They were slow to learn the full truth because their current concept of the Messiah and His work was not compatible with Him dying in this manner. Unfortunately, it is often the case today that many struggle to understand God's word correctly because of the preconceived ideas they will not let go of as they study. What the apostles needed to do was accept Jesus' words as truth and let go of their preconceived ideas. We today need to do the same as we study the Scriptures! Let go of man-made traditions and opinions and cling to the powerful word of God alone!
The apostles were probably afraid to ask Jesus about this matter in greater depth for fear of being rebuked as Peter had been when the subject was brought up earlier (cf. Mark 8:31-33). There was nothing more for them to do but to grieve at His words (cf. Matt. 17:23) and puzzle over them.