Children are basically curious, that is the reason why they always are interested in learning about all kind of new things. Also, it depends on their environment, the people they have around, their culture. The reasons for them to create a bomb could be infinite, but we have to have in mind that their hunger for experiences is what leads them the most.
Of course, this experience in particular is totally dangerous and there are many risks when trying something like that without any knowledge. They can get hurt very easily, burn something or hurt someone else in the process, that is why they should never do it in the first place.