This is a question I hear phrased as such from time to time, aimed at atheists. I find it really annoying because the question makes it seem as though morality is something that you can pick up from the corner store. When I hear this from believers I can't help but think that concepts of right and wrong must be a sort of shopping list for them. As if they could just walk into the Christian store and buy Christian morality when its convenient, or the Muslim store and buy Islamic morality when that is convenient.
The wording of the sentence subtly implies a form of authoritarianism. You would never hear someone ask where you get your mathematical truths from. Or anything similar. But religious people often ask where atheists get their morality from. I think this is because they think you need an authority figure such as a pastor or a holy book/word of a deity in order to have a recognizable idea of right and wrong.
It is this kind of thinking that I actually find so dangerous about religion. It has less to do with the invisible and metaphysical beliefs and so much to do with the authoritarianism surrounding right and wrong. The conflation of ethics with arbitrary and voluntary religious morality is one of the biggest reasons that I am actively anti-religion. We see this danger in the debates over public policy every day where there is a given group attempting to impose their cultural or religious morality over others.
I was thinking the other day about how religious people often talk about Objective Morality™. This apparently is the moral system they get from their deity or holy book. Relative Morality™ is the system used by the heathens like us. Yet if you think about it, theistic/religious cultural morality is not objective at all. It is absolutist in nature, which is subjective. Absolute morality is subjective because the subject in this case is the deity. If it were objective, it would be open for analysis by all beings, not just the deity involved.
Truly objective moral systems must be relative, because value is a relational term. Things only have value with respect to something else. Something can only be good or bad to some being(s). So this relative/objective false dichotomy doesn't even make sense in that way as well. Because absolutist morality is a false, subjective, tyrannical set of rules only relative morality with its objective ethical systems that are open for all to examine can prove viable.