Do you want to go get married on the moon?
Are those tickets to Vegas in your hand?
Where do you go from there? Who knows? The scene has died. Even if you go somewhere else, the scene has lost momentum. The rule is, therefore, say yes. When you say yes, you might not know where things are going, but you do at least know they are going somewhere.
Those learning improv might even play a little game to learn the rule. It's a game for two and one of the players must always say yes. The trick for the other person is to ask questions such that a narrative is formed and, for comedy, ask questions that they really don't want to say yes to.
Do you think we're going to die here?
Does that scare you?
Would you like me to hold you?
Hmmm... that might be a bit dangerous in this situation, should I maybe just give you a kiss instead?
It's freezing cold today. I know this because I just got home from the gym. I'm hungry. Covered in sweat. I stink. Checking my phone, I notice a text from someone I'd spoken to online but never met in person. She asks if I want to go to a noisy bar with her and watch the hockey game that starts in an hour.