A lot of them use it as an ice-breaker, to start the conversation off and get you comfortable with talking about yourself so they can understand you and your profile better. They also use it to check for red flags as mentioned by other comments.
The correct answer to this question, assuming you're employed, is "I'm pretty happy at <company>, it's a good environment and I really like the team. I'm not really looking for a new challenge right now, but if the right opportunity presented itself, I'd be open to it."
And although 'I'm not looking for a new challenge' is fine if it's honest, it's a lot less engaging than 'I'd be very excited to join your team for such and such reasons' i.e. a specific, legitimate active interest in something the team is doing is a bit more ideal than the neutral/passive 'not really looking'.
Counterpoint to that is when a recruiter initiates contact they are often very coy until they have you on the phone, frequently not even sending a JD until after that first conversation (where this line of questioning usually arises). I get wanting to provide an engaging response but hard to do so until the recruiter has provided sufficient information.
The correct answer to this question, assuming you're employed, is "I'm pretty happy at <company>, it's a good environment and I really like the team. I'm not really looking for a new challenge right now, but if the right opportunity presented itself, I'd be open to it."