Yes, Jesus did warn His disciples that His enemies would arrest Him and put Him to death, and that on the third day He would be raised from the dead by the power of God. And that's exactly what happened!
Why didn't they understand (or at least believe) His warning? One reason, the Bible says, is because their hearts were insensitive to God's truth. Perhaps they were too wrapped up in themselves; perhaps they still hoped Jesus would become an earthly king who would give them places of power. But whatever the reason, they failed to understand what He was telling them.
After His resurrection, for example, Jesus met two of His disciples as they returned to their home in Emmaus. They were despondent over His death, and although they'd heard that He had been raised from the dead, they refused to believe it. Finally, they realized He was alive and in their midst -- but not until Jesus rebuked them for their failure to believe His Word. He said, "How foolish you are, and how slow of heart to believe" (Luke 24:25).
It's easy to criticize them, but aren't we just like them? How often do we hear God's promises from the Bible, yet fail to trust them? How often do we know God wants us to do something, but we fail to act? The Bible says, "Do not merely listen to the word, and so deceive yourselves. Do what it says" (James 1:22).