There are possible explanations as to why this is a superstition and not just a practical piece of advice. In The Encyclopedia of Superstitions, Richard Webster concludes that, “no one knows why, but at least three theories have been proposed. The most likely theory is that a ladder forms a triangle when placed against a wall. The triangle symbolizes the Holy Trinity. Consequently, when you walk through it, you effectively insult the Trinity and attract the devil. The second theory concerns the use of the ladder in hangings. The ladders would be propped against a beam to allow the person about to be hanged to climb high enough to reach the rope. A third theory dates back to ancient Egyptian times, when people believed you might see a god walking up or down the ladder while you walked under it."

Source: Dear Asian Youth