Excellent point! In fact, when Kay first asked, Michael tried to divert her by saying, "Let's listen to the music," or some such.
Both the novel and the film show a pattern of Michael revealing things or doing things only when other people insist. It's as if he has an ethical quid pro quo: don't ask, I won't tell (or do). At the end of GF, he tells Kay not to ask him about his business, as if not asking makes it legit.

(SPOILER)

In the novel, Kay flees to New Hampshire with the kids after the Great Massacre of 1955. Michael sends Tom to persuade her to come back. She confronts Tom, tells him that she can't love Michael because he "made a fool" out of her by agreeing to stand godfather to Connie and Carlo's son, then arranging for Carlo's murder. Hagen's reply is worth repeating verbatim:
"You're mad because he lied to you. Well, he warned you never to ask him about business. You're mad because he was Godfather to Carlo's boy. But you made him do that."
Nice rationale, eh?