I often get an endless string of "why"s from my nephew (who's 3). I am usually quite happy to answer him (probably because I am not subjected to it on a daily basis) and we have long involved (although slightly one-sided) discussions about why you can't walk over that particular piece of wood, or why there are clouds in the sky.
However, sometimes enough is enough, and there are a couple of things I'll do to move the conversation on to more interesting areas.
If the "why" conversation has come back to one of the original questions, I'll say "I've already answered that question. Can you remember what I said?" and more often than not, he'll remember, repeat what I said (occasionally slightly amusingly paraphrased - it's interesting at these times to find out what meaning he took from the long stream of questioning) and the conversation will move on.
If it's something I know he knows the answer to (such as "Why has that lady got her umbrella up?" when it's raining), I'll ask "Why do you think?". Often this causes a reply of "I don't know", but at that point I'll ask a couple of questions to help point him in the right direction of the answer (using the example above, "Why might you put an umbrella up?" and following from the response "Because it's raining", "Is it raining right now?", and following from the response "Yes", "So why does that lady have an umbrella up?" which gets the reply "Because it's raining")
This seems awfully long winded, and possibly awfully smug too (as I don't have children, and my experience is solely based on interactions with my nephew, my much younger sister and the children at a church crèche I helped to run) but I really enjoy chatting to my nephew and find that he has such a lot of very interesting takes on ordinary things that a few rounds of the "why" game seem worth it.