Why do some business executives ask what is in mail or other packages they receive from the person delivering it?

In my office I witnessed something odd and funny. One of the old timers (a baby boomer who rose to the top just by being there, but who had no idea how to check his email) was given a sealed envelope by a messenger from a 3rd party delivery service, and he looked at him and said "what's in this?"

The messenger quickly replied "oh, I don't know because I don't read other people's mail, maybe you do but my work ethic won't let me." Of course the old guy flew into a rage and started slobberingly threatening to never hire that delivery company again, to which the messenger (on their way out) mentioned that since he was hired by the company who sent the package, he shouldn't have to worry too much about it.

Funny story, but seriously, is there any other answer that a professional carrier can give to "what's in this" when delivering something? Are the people asking this actually thinking that the carrier is opening parcels and looking at the contents?