I have (as have friends of mine) been asked this question tirelessly over the years. What is most surprising however, is that more times than not it comes from the gay community.
It's not a slur, or a challenge, but a deep-seeded lack of understanding on their part. I was told on one occasion that "Hey, I love ya, it's OK with me if you want to dress like a girl, but when and if you're ready, see a therapist to get help." When I asked why he thought I needed psychological help and he -- as a gay man didn't ---, he simply said, "Because I know who I am, and you're trying to change into someone else."
It seems that people perceive that a change of outer presentation is an attempted change of Self. Hmm. A poster on a discussion forum wanted to know why if the gay community is so much into being oneself, then why are they so accepting of the trans community, who, from his perspective, is attempting cosmetic changes because they don't love themselves.
From my perspective this poster determined that because it seemed straight forward to him -- we're born men or women, embrace that --, yet fails to see the correlation that his ignorance is no less ridiculous than a straight man telling him that he was born with a man's sexuality, embrace that and date women.