Graph Neural Networks (GNNs) have been recently introduced to learn from knowledge graph (KG) and achieved state-of-the-art performance in KG reasoning. However, a theoretical certification for their good empirical performance is still absent. Besides, while logic in KG is important for inductive and interpretable inference, existing GNN-based methods are just designed to fit data distributions with limited knowledge of their logical expressiveness. We propose to fill the above gap in this paper. Specifically, we theoretically analyze GNN from logical expressiveness and find out what kind of logical rules can be captured from KG. Our results first show that GNN can capture logical rules from graded modal logic, providing a new theoretical tool for analyzing the expressiveness of GNN for KG reasoning; and a query labeling trick makes it easier for GNN to capture logical rules, explaining why SOTA methods are mainly based on labeling trick. Finally, insights from our theory motivate the development of an entity labeling method for capturing difficult logical rules. Experimental results are consistent with our theoretical results and verify the effectiveness of our proposed method.