Jem cries because Nathan Radley cements in the hole in the tree, eliminating their connection to Boo Radley.
At the beginning of the book, Jem and Scout just see Boo Radley as a curiosity and form of amusement. They can act out his life story, or be afraid to pass his house. Yet they soon come to understand that Boo is lonely, and try to make him come out. This results in a slow connection growing between them that develops in the form of presents left in the tree hollow on the edge of the Radley lawn.
Scout finds the first gift as she is walking by.
Some tinfoil was sticking in a knot-hole just above my eye level, winking at me in the afternoon sun. I stood on tiptoe, hastily looked around once more, reached into the hole, and withdrew two pieces of chewing gum minus their outer wrappers. (ch 4)
The gum is the first overture of friendship from Boo, even if Scout does not know it. When she doesn’t die, she enjoys the gum. The children find many other gifts there, including twine, a watch and a chain, a spelling medal, a rare penny, and soap dolls carved to look like them.
When the tree is cemented, Jem asks Mr. Nathan why. He says it was sick. Jem is aware of what really happened though. Nathan has closed Boo’s only connection to the outside world and friendship. That is why Jem cries. He pities Boo, and has come to think of him as a friend. Later, Boo makes other connections with them, but they always remember the little gifts.