Why would you want to?

Sometimes, in conversation, someone will say a word or phrase and immediately follow it up with “Oh, I guess we’re not allowed to say that.” Usually it’s something racial, but it might also refer to sex or gender. I’m never sure how to respond. I mean, why would you want to, even if you were “allowed”? If you know that a group of people prefers to be called a certain thing, why wouldn’t you do…