This is called parsing - your brain processing the speech sounds into meaning. That feeling of suddenly realizing what was said is your brain needing a little extra time to parse.
This can happen for lots of reasons. One time my sister in law was so grumpy that my brain struggled to parse what she was saying because the tone and words were so mismatched.
Quick solution: when you don’t understand what someone just said, wait a few seconds before asking what. Often, your brain will fill in the gap given a second to catch up.