I feel like usually when someone asks that question, they already know that the answer is NO. They can tell something is wrong. By asking they get to show concern.
But even though they may genuinely care and want to help, i think people often subconsciously want to be lied to...

Telling somebody that I am not okay to me means that I am asking for their help and involving them in my problems. If I do answer honestly to that question when im not doing well, I usually answer "no I'm not okay, But I will be...". Then I am not lying and I am having faith that things will get better.

Sometimes it's exhausting faking being fine when I am depressed. But while I am scared of being found out as depressed when I am working so hard to appear normal, it would be refreshing just once to have someone ask "are you okay?", me answer "yes I am fine", and them respond "no you are not" and actually see me for once.