My first explanation was that understanding is the best way, but memorization can be more efficient in short term, especially if you expect to forget the stuff and never use it again after the exam. Some subjects probably are like this, but math famously is not. Which is why math is the most hated subject.

Another explanation was that the students probably never actually had an experience of understanding something, at least not in the school, so they literally don't understand what I was trying to do.

What do you think about these other possible explanations?

1. Some of these students really can't learn to prove mathematical theorems. If exams required real understanding of math, then no matter how much these students and their teachers tried, with all the pedagogical techniques we know today, they would fail the exams.

2. These students really have very unpleasant subjective experiences when they try to understand math, a kind of mental suffering. They are bad at math because people are generally bad at doing very unpleasant things: they only do the absolute minimum they can get away with, so they don't get enough practice to become better, and they also have trouble concentrating at practice because the experience is a bad one. Even if they can improve with practice, this would mean they'll never practice enough to improve. (You may think that understanding something should be more fun than rote learning, and this may be true for some of them, but they never get to actually understand enough to realize this for themselves.)

3. The students are just time-discounting. They care more about not studying now, then about passing the exam later. Or, they are procrastinating, planning to study just before the exam. An effort to understand something takes more time in the short term than just memorizing it; it only pays off once you've understood enough things.

4. The students, as a social group, perceive themselves as opposed to and resisting the authority of teachers. They can't usually resist mandatory things: attending classes, doing homework, having to pass exams; and they resent this. Whenever a teacher tries to introduce a study activity that isn't mandatory (other teachers aren't doing it), students will push back. Any students who speak up in class and say "actually I'm enjoying this extra material/alternative approach, please keep teaching it" would be betraying their peers. This is a matter of politics, and even if a teacher introduces non-mandatory or alternative techniques that are really objectively fun and efficient, students may not perceive them as such because they're seeing them as "extra study" or "extra oppression", not "a teacher trying to help us".