Why people ask it
Because it is the obvious follow-up to a badly stated version of the cosmological argument.
Short answer
The premise is "whatever begins to exist has a cause," not "everything has a cause." If God never began, the question does not apply.
Deeper answer
This objection is almost always the fault of how the argument was presented. If you say "everything has a cause," the reply is not only fair, it is correct — that version is self-defeating.
The actual premise restricts the claim to things that begin to exist. That restriction is not special pleading invented to protect God; it follows from what the argument is about. Things that come into being require an explanation for their coming into being. Something that never came into being does not.
The genuinely interesting question underneath is whether anything can exist necessarily rather than contingently. That is a real philosophical dispute worth having, and it is a much better conversation than the one about who caused God.
Common mistake
Answering "God is just special." That sounds like an exemption invented for convenience even when it is not.
Conversation-ready response
""The premise is about things that begin to exist. If God never began, the question does not apply — it is like asking what the bachelor’s wife is doing. The real question is whether anything exists necessarily.""
Source notes coming soon.