Magician and author Alex Stone answers at Freakonomics ::
Part of it may have to do with the way children pay attention. As adults, we’re very good at focusing on one thing while ignoring subsidiary distractions. This is great for getting stuff done, but it also makes you susceptible to misdirection, because magicians are good at getting you to train the spotlight of your attention on one thing—the wrong thing—while doing something tricky in the shadows. Kids, on the other hand, tend to focus on more than one thing at a time—their attention is more diffuse—which may make them harder to fool. Moreover, kids are relatively free of assumptions and expectations about how the world works, and magic is all about turning your assumptions and expectations against you.