Fuzzing is a widely-used software vulnerability discovery technology, many of which are optimized using coverage-feedback. Recently, some techniques propose to train deep learning (DL) models to predict the branch coverage of an arbitrary input owing to its always-available gradients etc. as a guide. Those techniques have proved their success in improving coverage and discovering bugs under different experimental settings. However, DL models, usually as a magic black-box, are notoriously lack of explanation. Moreover, their performance can be sensitive to the collected runtime coverage information for training, indicating potentially unstable performance. In this work, we conduct a systematic empirical study on 4 types of DL models across 6 projects to (1) revisit the performance of DL models on predicting branch coverage (2) demystify what specific knowledge do the models exactly learn, (3) study the scenarios where the DL models can outperform and underperform the traditional fuzzers, and (4) gain insight into the challenges of applying DL models on fuzzing. Our empirical results reveal that existing DL-based fuzzers do not perform well as expected, which is largely affected by the dependencies between branches, unbalanced sample distribution, and the limited model expressiveness. In addition, the estimated gradient information tends to be less helpful in our experiments. Finally, we further pinpoint the research directions based on our summarized challenges.