It is entirely possible that the whole story is fabricated. Genesis of Greek myths has been analysed by Paul Veyne; the corner point is that during Antiquity, there was no real difference between history and mythology, as practised by authors. The narrative was what mattered, so a "true" story was a story that "made sense" in a literary way. In the case of the Trojan Horse, the story had to explain how the Greeks had prevailed, even though the walls of Troy were famed and both parties had their own heroes and the support of some gods.
Note that the Trojan Horse is described (succinctly) in the Odyssey (Virgil expands upon it in the Aeneid, but Homer -- or whoever wrote the Odyssey -- still has precedence), a poem dedicated to Odysseus, whose main "philosophical" theme is the search for a restored order. Odysseus is far from home, lost, thus not in harmony with the Cosmos (the Cosmos is both the essence of divinity and the whole World). In his search for getting back to where he belongs, Odysseus even defies the gods, e.g. by refusing the gift of immortality and eternal youth offered by Circe. It is thus fitting that the same Odysseus would find the trick to resolve the Trojan war, that had kept locked all the kings and gods in a dead-end. One can therefore analyse the Trojan Horse as a metaphor for mankind being able not to reach divinity, but at least to find through intellectual craftiness a way to restore order (Chaos is the real Bad Guy of Greek mythology and philosophy, and a ten years long war is an incarnation of chaos).
Of course, a lot of other mundane explanations have been suggested, by people who really want the story to be based on an actual event. Treachery was one of the tools of war (it has always been), and in such times it was not considered dishonourable (the importance of "fighting fairly" is a late medieval idea). Yet another interesting suggestion is that the Trojan Horse symbolizes an earthquake: Poseidon, god of the Sea, was also god of earthquakes. Thus, an earthquake damaging the Troy walls could have been turned, later on, into a story about an offering to Poseidon hiding a god-supported act of war. (Note that neither the Odyssey nor the Aeneid claims that the horse was considered as an offering to Poseidon, but making offerings to the god of the Sea before setting sail makes a lot of sense.) Traces of earthquake damage have been found on Troy's ruins, albeit not in the level commonly associated with the mythic war.
