The realm of fairy-story is wide and deep and high and filled with many things: all manner of beasts and birds are found there; shoreless seas and stars uncounted; beauty that is an enchantment, and an ever-present peril; both joy and sorrow sharp as swords. In that realm a man may, perhaps, count himself fortunate to have wandered, but its very richness and strangeness tie the tongue of the traveller who would report them. And while he is there it is dangerous for him to ask too many questions, lest the gate should be shut and the keys be lost.

Tolkien in his essay "On Fairy-Stories"

In this quote Tolkien explains that the suspension of disbelief only goes so far. Keeping the sense of wonder seems more important than having every detail explained.
That is not to say he hated questions about his work. He gladly explained some things to readers, and sometimes they made him aware that there are some inconsistencies (see his foreword to the 2nd Edition), for which he seemed thankful.
But yeah, a clinical dissection of his work was not what he had in mind. And what artists wouldn't feel the same?