Discovering ideal Graph Neural Networks (GNNs) architectures for different tasks is labor intensive and time consuming. To save human efforts, Neural Architecture Search (NAS) recently has been used to automatically discover adequate GNN architectures for certain tasks in order to achieve competitive or even better performance compared with manually designed architectures. However, existing works utilizing NAS to search GNN structures fail to answer the question: how NAS is able to select the desired GNN architectures? In this paper, we investigate this question to solve the problem, for the first time. We conduct a measurement study with experiments to discover that gradient based NAS methods tend to select proper architectures based on the usefulness of different types of information with respect to the target task. Our explorations further show that gradient based NAS also suffers from noises hidden in the graph, resulting in searching suboptimal GNN architectures. Based on our findings, we propose a Graph differentiable Architecture Search model with Structure Optimization (GASSO), which allows differentiable search of the architecture with gradient descent and is able to discover graph neural architectures with better performance through employing graph structure learning as a denoising process in the search procedure. The proposed GASSO model is capable of simultaneously searching the optimal architecture and adaptively adjusting graph structure by jointly optimizing graph architecture search and graph structure denoising. Extensive experiments on real-world graph datasets demonstrate that our proposed GASSO model is able to achieve state-of-the-art performance compared with existing baselines.