While growing up, my father said it a lot.
“Where are you going dad?”
“Nowhere”
“Nowhere could be anywhere”.
“Exactly, that’s the point.”
I eventually understood that whenever he said that, he wants to go somewhere less visited and unwind, or gather his thoughts.
Nowhere has become my favorite place to be too.
Your dad gets it!
It's good that you have managed to pick up on it and that nowhere is somewhere you also like going; I imagine you find value in it like your dad did.