First
you should be on the same page as the interviewer and know what specifically he/she is talking out, e.g. project, exception, etc. Are they are talking about Java program "exceptions" during development or something other type of exception related to a project?
There is no "perfect" answer. The answer depends on your experience. If you have experience coding and have never had to deal with a Java Exception in code, then your answer should convey this. If you have never worked on a project, then you answer should be very easy, "You never had to deal with an exception, you have not worked on any project."
For experienced interviewers, it is very easy to tell when an individual is lying or making up things in their responses to queries. If you keep encountering questions about exceptions, then you should study them in detail. You can always state that you have never had to deal with them in programming, but understand what they are and the various ways to deal with them.