My experience is that, yes, first of all, a small child's "Why?" is usually "Please keep talking." However, I have also found that sometimes they do have particular questions, and that they learn to ask clearer questions if you help them realize that there are many possible questions.
While it probably won't work the first time, try offering them options about which question they want answered. ("What are you asking? Do you know what 'transparent' means? ... Do you want to know why we call it transparent, or what makes the water transparent? Or do you just want me to talk more about water?") Even just saying "I don't know how to answer 'why' here, but i'm happy to talk about transparency and how light works, if you want."
In general, a four-year-old probably understands a little more than you think, and can express a little more than you expect, if you help them. Of course, the goal is to get them to be clear on their own, so at some point you might offer less help, and just answer whichever one you like, and let them re-ask the question. Getting to that point, I have found direct conversation about the conversation to be very helpful.