Kids tend to do this for different reasons, but with my DS it typically seemed to be a way to keep the conversation going. As in, I'd like to keep talking to you, but all I can think of is, "Where are we going?"
So I'd answer his question again & keep the conversation going myself. For example,
DS: Where are we going?
Me: to the grocery store
DS: ... Where are we going?
Me: Do you remember? We're going to the grocery store. We need to get food for this week. I know we need apples and milk. Can you think of anything else we need?
DS: We don't have any bananas.
Me: That's right! We need to get some more bananas. I'd like to make pasta this week, so we also need to buy some pasta and some peas. I wonder if we'll see Mr. H (our butcher) at the grocery store. He might be working today, but he might be at home.
DS: He might give me a sticker.
Me: If he's there I'm sure he'll give you one! Mr. H always stops to talk to you and give you a sticker when he sees you. He's very friendly.
DS didn't do this too much, but when he did this seemed to help. DS's conversational skills have greatly improved, so I don't get the repeated questions much anymore. However, there are times when he actually forgets where we are going, but that happen so me too!