For some, prayer is an odd idea. God knows what we want, so why do we need to ask for it? Jesus goes a step further and says not only should we ask, we should ask repeatedly. He also continues to turn things upside-down by teaching that people who would traditionally be believed to be closer to God really are further away and those that would be thought further from God are closer.
When it comes to prayer, God wants us to understand that what we are asking for belongs to God. For us to expect to get things from God without asking assumes that God owes us things. When we ask, and ask repeatedly, we acknowledge the nature of the relationship between us. We are requesting that the God of the Universe provide something we do not deserve.