The reason is the stored password on my phone. Nokia 5800 doesn't offer you to enter a new password if the stored password ('known") don't work.
Here's a step-by-step guide to change the WiFi password on your Nokia 5800XM:
Go to Menu > Settings > Connectivity > Destinations> Internet
Now double-click on the WiFi connection name that you would like to edit.
Double-click on the WLAN security settings
Double-click Pre-shared key and input the new password for your WiFi connection.