I find that this is all too-common incursion into my life that has slowly been building up as a nuisance up to the point of aggressive frowning.
This seems to be a frequent habit of many people in one way or another: before you've even finished speaking often, they will say "WHAT?!" or similar...sometimes maybe they wait 500 milliseconds.
These people will then process what you actually said and actually have understood you...or they may have spoken of a crucial bit...or perhaps, in some cases, they would not of comprehended anyway.
This very rarely seems to happen when you first meet someone for a day, although this could be partly because first greetings are inconsequential and/predictable or because people focus especially hard on what you say. But if you've already met them, they very often start this "WHAT"ing business. It tends to only happen with people you know fairly well I guess which must be down to level of comfortableness and/or perhaps these "WHAT?!"s (not always in capitals) are some form of sympathy gesture or showing they are listening.
I've noticed that even I do this myself sometimes! The best solution may be to try saying "HMMM!?" instead.