Why did Donnie ask that question?

Question

In Donnie Brasco (1997), sitting in the car, Lefty told Donnie how he supported Sonny Blacks family while Sonny Black was in prison. Now Lefty is meeting Sonny Black despite the fact that he think Sonny Black might have planned to murder Lefty.

Lefty: Sometimes I think, in that orphanage, they dropped you on your fucking head.

Donnie: How am I supposed to know if you don't explain it?

Lefty: You think I don't know how a hit gets set up? You think I don't know that? How many times have I been on the other end of that fucking phone?

Answer 1

You left out the question Donnie asks before Lefty says this:

You took care of Sonny Black, what are you worried about then?

Donnie is wondering why Lefty would be worried when Lefty was the only one to take care of Black's family. Lefty explains that the nature of the call to him was the same one he used to make to people who then would get wacked.

Donnie, I got sent for. In our thing, you get sent for, you go in alive, you come out dead, and it's your best friend that does it.

Answer 2

I think Donnie was acting naive at that point. He was under cover, but he would have known how the mob operates to some degree since he wasn't the first-ever undercover agent. Donnie had to play dumb and continue to let Lefty feel like he was showing Donnie the ropes.