There's definitely some physical manifestations of your strongest emotions. Strong feelings of fear or anger trigger musclular reactions in your belly, strong feelings of anxiety or tension in your neck, love and contentment in your chest, etc.

Perhaps they were trying to find those physical connections to gauge the emotion or intensity?

I think we sometimes tend to forget that our physical brain lives in a physical body, and the "abstract" thoughts and feelings we experience are very much physiological processes as well. The question aims at reminding us of this fact, drawing attention to any potential psychosomatic responses your body might exhibit to strong emotions. It is easy to repress awareness for these, so to me it makes sense for the therapist to try and dig a little deeper. They're not doing it to annoy you, they're trying to help you become aware of (or be more mindful of) your feelings and how they affect the physical body that is experiencing them.

It's the physical manifestation thing. It also helps you try to be more mindful of your feelings. For instance, if you normally feel anxiety in your jaw, and you find your jaw tightening again in whatever situation you find yourself in, you might see if you can slow down and think of your next steps. Why am I feeling anxious? Should I take a break?

This only really made sense to me for the emotions that I strongly felt physically, like anxiety so bad I would get tunnel vision. For smaller physical reactions, not so much.

I was always annoyed by this question for the same reasoning. However, as another person already said, you can sometimes feel it in some part of the body. When feeling bad, it feels like pressure in my stomach, there a a few other.such connections. Now I find it somewhat useful as part of mindfullness.

I do still get annoyed when asked this question, partly because whenever he asks the question i do not feel it anywhere, also it seems irrelevant. But the main reason is probably defiance that this seemingly stupid question of him was sensible all along. So much I had to write this response.

My therapist asked me this on some occasions. Part of my problem is to realize and acknowledge how I'm actually feeling.

"In my brain" was never the answer, when she asked that, I always felt different parts of my body.