It's quite likely to be a consequence of the belief that they have to answer the question. When they can't work it out, when they've gone around in circles and got lost, but still they have to give an answer, what are they supposed to do? They believe that at least giving something in the form of an answer is preferable to saying: "I don't know. I couldn't fill in this step. I went around in circles and got lost."
It means they haven't understood the purpose of doing exercises, which is not to get a high score, or a passing grade, or to 'get the answer', or to 'follow the rules'. It is to enable both you and them to identify gaps in their understanding, so you can go back and fix them. The goal of education is not to get good grades, but to learn a skill. If they understand this, then it should be obvious that the right response is to say you can't do it, identify the gap, and perhaps try to explain what it is about it that you find so confusing.
They should suffer no detriment from doing so. Only apply tests that they're going to be graded on once they have had a chance to fix their understanding as far as it can be fixed. With graded tests, the purpose then is to measure/demonstrate their ability having been educated (or not), and here they should simply skip any question they can't do, and not waste time. Here again, they need to understand that there is no point or benefit in pretending to be able to do something you can't actually do. You might get a pass, and even a job, but you'll get caught out as soon as somebody asks you to do it for real. And the consequences of getting caught lying/cheating are infinitely worse than they consequences of saying "I don't know. I can't do this."
Unfortunately, the belief that grades are the goal is an incredibly common misunderstanding, which the structure of school/university education often makes worse.
Very occasionally, you might get someone who picked up the lesson that because you sometimes perform leaps that they don't understand, that seem to have no rhyme or reason, but just jump to the conclusion, that this is how mathematics is done. Again, they need to be given the confidence and moral licence to say "I don't understand".
It used to drive me mad when students obviously didn't understand something, but nobody dared ask for fear of looking stupid in front of their peers, or making themselves unpopular by delaying the class escaping at the end of the lecture. There is no point in having a live person there doing the lecture, rather than watching a video, if you're not going to ask questions. Nevertheless, the attitude was nearly ubiquitous.