The answer is not so much a genuine request for instruction regarding the particular nature of their sin as it is a feigned act of innocence of wrongdoing. By placing this question on the lips of the Israelites, the Lord indicates that the people of Israel are not yet convicted of having offended the Lord. He has used this technique previously (Malachi 1:2, Malachi 1:6–7; Malachi 2:17) and will use it once more (Malachi 3:18). That this question is not genuine but a feigned act of innocence is supported by the fact that the Lord does not answer their question, but instead exposes their sin.
7 From the days of your fathers you have turned aside from my statutes and have not kept them. Return to me, and I will return to you, says the LORD of hosts. But you say, ‘How shall we return?’