Because the original (or direct) question is "destroyed". It's not the "main" question anymore. Compare:
A: Where's the bank? (direct question)
B: It's two blocks ahead, on the corner.
X: Do you know where the bank is? (indirect question)
Y. Yes. It's two blocks ahead, right on the corner.
The answer to the first question is: "The bank is two blocks ahead". Notice: "where...?" <> "it is...".
In the second question, the answer is: "Yes, I do", implying "I know where the bank is". It's in concordance with the question "Do you know?". What comes after the answer to the main question is just a complementary clause. Check this:
A: Did she tell you what time John is arriving?
B: No, she didn't. But I know the time already.
A: What time is John arriving?
B: He's arriving at 5:30.
Hope this helps!