I know that I am not a psychologist or an expert by any means, but I think perhaps what I am about to discuss might hold some ground. It relates to Freud's ideas of the unconscious and the id.
I know if you are like me that there have been many times when some one said something or asked me a question and I immediately responded, "What?" even though I knew exactly what they said and could even repeat it to them. Perhaps they would ask something like the following, "Did you see that amazing game last night?" to which I would reply ,"What?" and they would repeat themselves but I could finish their sentence for them. I thought to some extent as to why I would say "what" after some statement or question. I asked my friends if they did the same thing and they agreed that they had, perhaps more or less than I, but they did none the less.
As I ran these thoughts over in my mind today I came to the conclusion, rather a small, more insignificant one, that the response generated by me immediately was not of my conscious or rather ego, but rather my unconscious, or id. The id, not necessarily feeling anxiety, forces the ego to push out the question "what?" in order to give the mind more time to come up with an answer and reaction. It uses this as a defense mechanism to help avoid what it may see as an embarrassment in the stalling period while thinking of a response. To avoid this, the id pushes out "what" to give the mind more time to recall. Going back to the earlier question, one may stall three or four seconds while recalling the game from the night before so they can discuss it. This defense mechanism allows the mind to recall the game the previous night while the person asks the question a second time so as not to seem slow or dim-witted.
While there may not be a solid, scientific proof for this theory rather than my reasoning, I feel that this explanation may explain why the forced "what" pops out without us thinking about it. I welcome and suggestions, comments, and/or criticisms.