This is the response we get for EVERYTHING right now, if it is not in agreement with Mr. Monkey's wishes. Heck, even if he's just confused, "why not we going backwards" (when the van is backing up and he wonders why).
So we get into the old dilemma - answer it with a good explanation, or tell him, "because I said so". (or something along those lines). We try to answer his questions honestly - we want him to feel free to ask questions and know it's safe to challenge authorities at the right time.
Our struggle is when it's not the right time to challenge authority. For instance - when Mommy or Daddy said, "no candy right now" - "Why not" is not an appropriate response. We have been working to teach him "yes ma'am" and "yes sir". He gets it, with visual reminders.
But - he's 3... so, "why not" answer him when we can. He'll learn to trust our decision making (eventually), and learn that sometimes asking "why" gets answers longer than what you really want to hear.
How do you deal with the "why" or "why not" age?