To me, "of" implies a direct transfer, but "about" is indirect. So to be "curious about (walk about... talk about.. think about...) something" means you are approaching it from several angles and perspectives. Not just one specific angle. Imagine you are walking around the object, stepping back, forward, bending low, etc... your curiosity wants satisfaction. Secondly, "curious of something" makes little sense because curious is an adjective. You need a noun, or even an action ("I think of something") that the something could give, cause or possess. I'm trying to substitute other adjectives in place of "curious", and it's still not making much sense. I need other prepositions like "about", "at" or "for" to give it sense. Just my theory, any other thoughts?

why is curious about something, not curious of something. Correction: Why are we curious about some things, but not about others? Answer: Because some things in life interest us, while other things are not as interesting to us.

No, it is not. We say "about". Learn it. Don't ask why.