Hello verwoerd and welcome to textkit!
Perhaps the ancients just didn't have a way of conveying what they saw, Wittgenstein comes to mind, "The limits of my language means the limits of my world." I have read how some people believe that the centaurs of the Greeks were in fact the Scythians, and their brief contact led to the Greeks thinking they were in fact half-man, half-horse. Personally I doubt the truth of this, but it is plausible that if saw a band of riders of such great skill they would seem to be one with the horse.
Humans want to explain things, we feel very helpless when things we can't explain happen, so in order to not feel so helpless we try to explain our environment, life and death.
It may very well be that the first Greeks who saw a rider and horse were so surprised by the sight that they thought it was one creature. After hundreds of years no one knew that of course, but this half horse half human creature had become a beast of legend. But it could just as well be something totally different. The very early religions worshiped nature - understandably, because humans felt small and ruled by nature. When nature is all around you and dominates you daily life (and death) - a thunder storm must be terrifying if you don't know what is causing it. So the nature (trees, animals, mountains, the sea, the sun etc) were made gods. The next step is when humans begin to settle and have villages and towns and a greater culture - at the same time they begin to think more of humans and less of nature, because they are 'conquering' nature. Egyptian gods are half beast half human for example. Elements of the old worship of nature still there, but there is a human element there which increases during time.
Greek and Roman religion is based mostly on humans, the gods are very human indeed, but it could be that some elements of older religions are still present in the form of centaurs.
So once you know why this thunderstorm is there (a cross god for example) you wnat to know 'why did it have to happen today? That is so unfair!'
This question is resolved differently in all the different forms of religion, more or less satisfactory. Less so logically in monotheism (how can a just god create evil and injustice too?) more so in some forms of buddism (there is no god, if something bad happens, it's your own fault for doing something bad in your previous life), but people have a longing for justice for themselves.
I think myths try to
1) explain the world around us (not necessary in our modern world, where we have sciene to do that for us, but I think this was on of the myths major functions). Centaurs would come under this category, as anything to do with gods or the creation of the world/humans etc.
3) and with this system of gods of course the question of justice would be addressed too.
2) moral guideline on how people are supposed to behave
I don't think that myths were created because the 'concept of God is unfathomable' - that is at too Christian view of things. The natural words was just incomprehensible and scary to people, which is why they need to think of ways to explain it, which is the origin of myths/religions.
Christian myth is written down and although you can dispute the interpretation of the texts you are not really allowed to doubt the texts or change them, whereas a ancient poet could just take one of their holy texts (the myth, which are like holy religious stories) and change the story totally to suit his purpose. Because their were many Gods there could also be many views, unlike with monotheistic religions. (Although Homer was like the Greek's Bible
I don't think there was a concept of 'one God' in most of the ancient world, Plato certainly was a monotheist (in my opinion), but most people in ancient Athens would not have believed that, but that many gods existed or none at all. The people there had many different opinions (as I said that was allowed in the ancient religion) on what things were really like, e.g. some may have believed in a life after death of sorts, but didn't and others again thought death was like everlasting torture).
I think people like myths because they are fun to read. The people back then asked the same questions back then as we did when we were kids. 'why are there stars in the sky?' - we know it's nothing to do with someone's breast milk, but it's a good story. Most were good stories and enjoyed as good stories back then for their entertainment value. Must have been quite boring without tv, so myths were also a form of entertainment - that should not be forgotten either.
To read them also lets us understand ourselves better, what is it we really want to know? As myths try to answer humanitities questions, we can work out what questions have always plagued humanity and if we compare them to our own today find out how our view of the world has changed.