João,
English is not exactly the most sensible language.
The meaning of a word or phrase in English is not finite. There are
times when the meaning of a word or phrase cannot be understood if the
listener, or shall I say, viewer, of the speaker or actor, does not
understand the body language of the latter.
In this case, what the dictionaries may also have failed to tell you is
that "cheeky" can also mean a slight, albeit, friendly comment on
someone's intelligence, sarcastic and/or wit. I think you found rather
strong meaning of that word in the dictionary than was intended by the
original speaker. So, please don't take it personal.
Here's a news story that the reporter thought to to be a "cheeky"
response to something you might find amusing. (And I have sent you this
link particularly because a British paper, such as this, is at the
forefront of bringing to doubt the meaning of words and phrases in the
English language)
http://www.dailymail.co.uk/travel/travel_news/article-2937631/They-ve-clearly-forgotten-draw-wings-Ryanair-s-cheeky-response-staff-caught-creating-lewd-picture-snow-Dublin-Airport.html
Finally, in the English world, the phrase "what do you mean" after
someone has said something is quite common. This should not be the case,
except that depending on what was said, how, where, when, to whom, and a
litany of other circumstances, meaning can be and is often lost. Don't
despair.
Great job, keep it up!
Some of us actually do enjoy your cheeky responses because they often
suggest commonsensical ideas that are often forgotten by the person
asking a question. And to be honest some questions are just down-right
silly. Please don't look up down-right. And I'm not giving directions
here. You may please excuse the pun.