The following diagram shows one important reason why rooks are more valued than knights. In this position, the knight can move to 4 squares, all marked with an "X" Note that the rook is able to cover all of the knight's possible moves. In such a position, perhaps white could march his king (or another piece) to attack and win the knight!
When you play over master games, be sure to look for this pattern: a rook two squares diagonally from the enemy knight. You will see it often.