Why? ... .but why?

This is my son's current favorite word of his vocabulary -- "Why?" Sometimes, followed by 'mommy', 'daddy', 'they do that?', 'is it?'. Often times, preceded with 'but'.

The other day, there was a policeman driving behind us. A few minutes pass, and he asks where the policeman went... it goes something like this:
"where did the police go mommy?"
"he went another way, he's not behind us anymore"
"why?"
"because, sweetie, he went off the exit to go somewhere else"
"why'd he do that?"
"To go and get some bad guys"
"why mommy?"

(insert wide-eyed stare of OMG from me)

So my hubby turned it around on him and asked "Why? Why did he go get bad guys Drake?" To which Drake says "Me don't know!" Like.. as in, duh I don't know, aren't you going to tell me?

It's funny. After a long string of why's, you eventually just come to a roadblock where you can't possibly explain any further.