When customers ask for a feature, there are two obviously wrong ways to respond:

"No, we're not going to build that"

and

"Yes, we'll put it on the roadmap"
The latter is easier to say in the short term and causes problems in the longer term. But you don't learn anything from either one.
When a customer asks for (or demands) a feature, what you've got is an opportunity to learn.

- What problem are they hoping to solve with it?
- What do they feel unable to do without it?
- What triggering event/conversation led them to bring it up now?
1st: acknowledge their request.

It may sound like the DUMBEST feature imaginable, doesn't matter. You don't actually know yet if it is.

- "I'd like to hear more about that"
- "You're right that we don't support that today - talk to me about how you'd see it helping your team"
2nd: provide some 'verbal padding' before you use the word 'why'

Have you ever actually *tried* asking 5 Whys? It sounds incredibly accusatory and confrontational in most circumstances.

Start with:
- "I'd like to understand..."
- "Just to make sure I'm clear..."
3rd: ask what the feature will enable / what the lack of it is blocking

- "If you had this already, what would it allow you to do?"
- "Since we don't currently support this, what's the impact on your team?"
4th: figure out what they're doing *right now*, *instead*!

They have a workaround hack. It might be ugly, tedious, expensive, error-prone. You want to know what from their current workaround is good and what isn't. Why it's sorta solving the problem and why it's not good enough.
4th continued:

- "I hear that you want [feature]. Since we don't have it, what are you doing instead?"
- "What workaround is your team using to solve [problem] today?"
4th continued:
Workaround hacks may be 'invisible' to a customer. Email, Excel, extra meetings, and sticky notes are common workaround ingredients.
If there is NO WORKAROUND,
then THIS IS NOT A REAL PROBLEM.*

*unless it's a brand-new market, then sometimes there still is one
5th: But what about "but your competitor has [feature]" ?

Repeat 1 through 3!
- Acknowledge: "Yes, [competitor] has [feature]
- Verbal padding: "Tell me more..."
- Ask: "If you were using [feature] with [competitor], what would that solve?
5th continued: Also useful:

- Have you used [feature] with [competitor]? Tell me what you liked about it...
- Who do you know who is using [feature] with [competitor]? What's the big benefit they're getting from it?
But wait - what if you *already have that feature*?
Should you tell the customer, hey, it's right here!

Not yet!
Why didn't they know about that feature?
Did they assume it did something different?
Did they try it and it didn't work?
- "If we had that, where would you expect to look for it / how would you expect to find out about it?"
- "What would you expect it to be called?"
- [point towards it] "Have you ever noticed this? What would you expect that to do?"
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