There are many reasons why dogs do this. They might want to hide or bury the toy and are frustrated that they can't find a proper place to do so. They might be mad you haven't rewarded them for catching what they perceive to be a high-value item. They might just be excited. However, the crying could be caused by teething, a tooth injury, or anxiety. Visit your veterinarian if you think your dog crying while carrying a toy is a cause for concern.