There is a whale outside

On this rather yucky rainy thunderstormy morning, this is the conversation in my house:

Max: Mommy... MOMMY!! Dere's a whale!
Me: A whale?
Max: Yes mommy, a whale!
Me: Where is there a whale?
Max: Outside ...(thunder)... see mommy, right dere...a whale!
Me: No baby that's not a whale... that's thunder.
Max: Thunder? ...oh... okay.... (walks away kinda deflated)

Why didn't I just let it be a whale... it was more fun that way!