The thing about this saying is that it ignores what the customers actually said they wanted. People who have a need will generally have a solution in their head. Saying they want "faster horses" is saying two things: what they want (faster travel) and their stab at a solution (horses).

Ignoring what a customer says they want is a recipe for missing the mark. Accepting the solution they have in their mind at face value is also a recipe for missing the mark. What should be done is to listen to the customers and take them seriously, then work out a solution. That solution might, indeed, be "faster horses", or it might be something else entirely. But you won't get to a great solution by pretending people don't know what they want.

Take your time and build something you know is great.