It is really strange to address why-questions to 3 years boy. He just now had learned to pronounce words and repeat some sentences, and you ask him "why?"
i guess he don't know why). Maybe it is very pleased and fun to throw milk at the wall, you should try, i think you didn't ever same, maybe that is better then sweets and sex to look how is milk flow along the wall?
He tried to get the first experience of action in the world, he is interested in something, let him get the experience. But all his trying ends with your swearing. So, you sworn at his interest and cognitive instinct... but he is smart boy, he know that you can't resist his poppy face, so he played with you in this game by your rules. And he won you with poppy face. He likes to won maybe.
And he is dare, he don't fear you and your sworn. It is his character, his dare and his "naughty". Let him be a creator of the game rules: Let him throw the milk. You may to buy some milk and throw it together, ofc not inside the house, not in the kitchen, in bathroom or outdoors, change the wall, bathroom maybe. You buy to toys to him, but he want to play with milk(why milk is not a toy?) and you "toys", or maybe he wants to play with you. He don't know why, he didn't do this yet, he just trying to do something, before he able to say why. Let him do his mad things but with a bit of control. Teach him how to control his interest. And when he finished the research i think he ll able to answer you why he do this. Let him finish that he will wish.