Why does Jimmy Valentine ask for the rose Annabel was wearing?

When Jimmy fell in love with Annabel Adams at first sight, that was the beginning of his reformation. When he opened his suitcase in the bank and used his specialized safecracking tools to free the little girl trapped inside the bank vault, that was where his reformation no longer seemed possible. It was obvious to all the people who had witnessed his seemingly impossible feat that he was not a legitimate small-town businessman but a master criminal. He assumed that Annabel could no longer love him once she had found him out.

When he asked for the rose she was wearing, it was a sentimental request. He wanted something to remember her by. At that point he did not seem to know that Ben Price was waiting in the outer room of the bank to arrest him for the three burglaries he had committed in Indiana right after being released from prison. But when he leaves Annabel and all her relatives behind, with the intention of also leaving his business and the town of Elmore behind, he runs into his old nemesis and knows he is under arrest.

At the door a big man stood somewhat in his way.

“Hello, Ben!” said Jimmy, still with his strange smile. “Got around at last, have you? Well, let's go. I don't know that it makes much difference, now.”

Jimmy hadn't known where he was going or what he was going to do for the rest of his life. But once he sees Ben Price he knows what he will be doing for a long time. He is still carrying the rose Annabel gave him. It is a symbol of his love and also a symbol of the reformation which was the result of his love. He expects to take it with him to prison, where he will keep the faded flower for perhaps the next twelve years. But Ben surprises him--and surprises the reader--by saying:

“Guess you're mistaken, Mr. Spencer,” he said. “Don't believe I recognize you. Your buggy's waiting for you, ain't it?”

O. Henry doesn't tell us whether Jimmy is reunited with Annabel, but it seems likely that he will be. O. Henry plants a bit of evidence that Annabel still loves him and wants to marry him in spite of everything.

As he went he thought he heard a far-away voice that he once knew call “Ralph!” 

This is intended to foreshadow a future reunion between the loving couple. Annabel may be dismayed by the fact that her fiance had been a criminal, but his heroism in sacrificing everything to save the little girl, as well as her belief that he is completely reformed, should make up for his past.