They weren't certain of Voldemort's reasons but they trusted Dumbledore.
Blind trust in Dumbledore is pretty much a pre-requesite for membership of the Order of the Phoenix. We know that Dumbledore didn't tell the Order any details about the prophecy. He merely told Order members to trust Harry and protect him at all costs.
Over Hermione's shoulder Harry saw [Kingsley] raise his wand and point it at Lupin's chest.
"The last words Albus Dumbledore spoke to the pair of us?"
"'Harry is the best hope we have. Trust him,'" said Lupin calmly.
(Deathly Hallows, Chapter 5, Fallen Warrior).
For Order members like Kingsley and Lupin Dumbledore's word was all they needed.
Nevertheless, Order members - like everyone else - could read the press speculation that was appearing in the papers on a daily basis.
The nature of that prophecy is unknown, although speculation is rife that it concerns Harry Potter, the only person ever to have survived the Killing Curse, and who is also known to have been at the Ministry on the night in question. Some are going so far as to call Potter the 'Chosen One', believing that the prophecy names him as the only one who will be able to rid us of He Who Must Not Be Named.
(Half-Blood Prince, Chapter 3, Will and Won't).
So, although Dumbledore never revealed the prophecy to them, they could form educated guesses as to how important Harry was in the scheme of things.
"And now, Harry, on a closely related subject...I gather that you have been taking the Daily Prophet over the last two weeks?"
"Yes," said Harry, and his heart beat a little faster.
"Then you will have seen that there have been not so much leaks, as floods, coconcerning your adventure in the Hall of Prophecy?"
"Yes," said Harry again. "And now everyone knows that I'm the one-"
"No, they do not," interrupted Dumbledore. "There are only two people in the whole world who know the full contents of the prophecy made about you and Lord Voldemort, and they are both standing in this smelly, spidery broom shed. It is true, however, that many have guessed, correctly, that Voldemort sent his Death Eaters to steal a prophecy, and that the prophecy concerned you."
(Half-Blood Prince, Chapter 4, Horace Slughorn).
The other Order members didn't know the full truth about Harry but they guessed the broad details from the Daily Prophet. And they trusted Dumbledore's instructions anyway so they protected Harry even without hearing the full prophecy.