They had made the exception (there can be divorce, when there is sexual immorality) to be the rule (there can be divorce for any reason at all).
Realizing that Jesus gave no "easy out" from marriage, the disciples concluded that it might be better not to marry.
Rather than to try to persuade His disciples otherwise, Jesus said that staying single might be an option to take seriously.
I would remind you that this is a parallel passage to Matthew 19.
I understand that the reason why Jesus does not mention the exception in Mark's Gospel is that He is trying to emphasize "the rule" and not "the exception." That was the problem with the Pharisees.
Our Lord's questioners responded by asking why Moses commanded that one give his wife a bill or certificate of divorce.