This is a statement to stress a point, but it is in the form of a question, to which an answer is not expected.

Example:
A. Why am I so stupid?
B. Well, there are no easy answers!
A. Oh shut up! That was a rhetorical question.

Other examples:
Why are some people so mean?
Why does it have to rain so much?
What’s the matter with the economy?

Compare to:
Figure of speech.