Because of own's own desires and vasanas/ innate tendencies (samskara developed through many births), one approaches the devatas and not the supreme Lord. Brahman pervades all the devatas, they are only his manifestations. But the ignorant, because of their desires and tendencies consider the manifestation to be Supreme. So they go to these limited devatas and not to the Supreme Consciousness which alone empowers all of these.
Here devata can mean
(a) Phenomenal forces of nature like rain, cloud, fire
(b) Other Gods like Indra and so on
(c) Subjectively seen Devatas refer to our sense organs. We also please them- because of desire we like to see good forms, eat good food and so on. There is a presiding deity for each sense organ. We because of our desire please them indirectly by indulgence and take it to be the supreme, not knowing that the source of bliss is Consciousness, the Paramatma which alone is reflecting its bliss through these.
(d) In adhi bhautik level (empirical level) the devata can refer to worldly things like pleasure, money, influential people whom the ignorant worship for limited returns.
Some people here take the meaning that the Lord is saying that one should worship Him (as Krishna) as he is the greatest. But such limited narrow meaning cannot be applicable here. The Lord here is talking as Brahman, Consciousness of which all other devatas are only reflections. Based upon our impressions each jiva catches one specific reflection and derives joy out of it and says that is the supreme. The Lord is saying get hold of the source and not the reflections, which also by the way is only Me but appearing limited. When I, infinite am there, why are you holding to the limited reflections, this is the purport of the Lord.
Whatsoever one seeks to worship with firm faith in whatever form , that same faith of His I make it form. For they are only reflections of Me, they the ignorant seek the limited, but I alone am empowering them. But the ignorant think the limited has satisfied them and then they get bound.
The purport is - People in this world have faith, but their levels are variegated. The personality of that person is determined by his level of faith (broadly classified as sattvik, rajasik and tamsik).
By the sharadda that has been made firm by me, with that same shraddha he worships, and he gets the objects of his desire. How he gets? Basically he (the ignorant) thinks that the devata has blessed him with the result.
The one Supreme God works through the many devatas. God is only one and Infinite. But his manifestation is seen in the form of many devatas. Each devata represents one aspect or power of that one infinite God. But based on one's own impressions, one worships one specific manifestation of the supreme and takes that as the ultimate Truth. And then they are fooled to believe that the devata has given the result. From the deity who is thus worshipped in that form, he obtains all desired objects as decreed by Me the omniscient and supreme Lord, as I alone know the subtle relation between action and its result. They do not know the Truth of that One all pervading Lord.
Let us understand this subjectively. If we take devata as presiding deity of sense organs, we because of desire want to have good food, listen good sound, see beautiful form and so on. We then think that the experience is the source of joy, i.e the presiding deity has "blessed" us. But the real source of joy is only Brahman reflected through them. But now I think the experience is giving me joy, and my faith in the sense organs (and the world) is cemented further by vasanas. This is bondage, this is Maya. Though all the experiences were complete because of the one Paramatma , yet he remains hidden.
The similar example appears in the Kena Upanisad where Yaksa (Brahman) is shown to work through Agni, Indra and so on by means of a story.
Hence many manifestations of the Supreme are possible, but the Supreme God is only One.
Now in Sloka 23, the Lord differentiates the nature of the result that an individual gets when he worships the Devatas and he worships the Supreme. He says that one who worships me get the infinite result but one who worships the devatas get only finite result.