They did not understand that he was telling them about his Father.
Jesus had spoken plainly and often of God being His Father, so how could they not understand? Because the devil blinds our minds to the truth (2 Cor 4:4).
2 Cor 4:4 The god of this age has blinded the minds of unbelievers, so that they cannot see the light of the gospel of the glory of Christ, who is the image of God.