For the unnamed boy narrator of "Araby," the eponymous bazaar represents a world of glamour, mystery, and fantasy, all the things that are missing in his humdrum, everyday existence. The boy lives in a shabby part of Dublin, a place where nothing exciting ever happens. He can be forgiven, then, for wanting to grab any opportunity, no matter how brief, to escape his home environment and enter into a whole different world.
The bazaar offers just such an opportunity. It also offers the young lad a chance to impress Mangan's sister, on whom he's developed quite a crush. He wants nothing more than to show his feelings for the girl by heading off the bazaar and buying her a nice gift. The boy sees it as like an Arthurian quest in which the valiant hero proudly displays his chivalry to his beloved damsel.
Given how important the bazaar is to the young man, one can understand just why he feels so crushed and humiliated when he gets to Araby only to find that it's closing down. The darkness and the desolation of the near-empty hall suddenly bring him crashing down to earth.
For an all-too-brief period, he'd scaled the heights, gaining a tantalizing glimpse into a dazzling fantasy world of glamor and excitement. But now, he's been unceremoniously ejected back into the real world, the world from which he was so desperate to escape.