It addresses a common fear of small children who are not yet old enough to understand that boys don't turn into girls and girls don't turn into boys. Suddenly they notice that half the population doesn't have one, and they come to their own conclusion about where it went. After all, when they sit on the potty there's something that looks suspiciously like a body part that gets flushed away. So the boys decide that maybe they're at risk for losing their precious body part down the toilet.
Boys get to keep their penises forever.
Nothing can take it away. They're really, really interested in it. You can tell because they usually talk about it later, generally in the grocery store.