Because finding exo-moons is too easy!
Can a moon have a moon of its own? In our solar system there do not seem to be any examples. Sub-satellites could be produced by impacts blasting material off the moon, or perhaps captured from passing (binary?) asteroids: anyone know of any estimates of the rate of sub-satellite formation in the solar system? Nevertheless as I understand it, tides will put an end to sub-satellites on quite short timescales (relative to the age of the solar system) - either the sub-satellite collides/merges with the parent moon, or evolves outward until it escapes the moon's influence.
Is there any evidence that sub-satellites may have existed in the past? It seems that a sub-satellite (plus a circum-satellite ring system)
may help explain some of the properties of Saturn's moon Iapetus, including the equatorial ridge, the overall shape of the moon and the fact that its rotation is synchronous. Iapetus seems to be a good candidate for this kind of thing anyway: the ratio of the Hill radius to the satellite radius is very large, giving a lot of room to manoeuver.
Oberon might also be a good candidate but there's no evidence to support it: there aren't any good images of its equator because
Voyager 2 went past at solstice, nor are there likely to be any for a long time - I'm pretty much resigned to the fact I won't see another mission to either of the ice giants in my lifetime.
So what about extrasolar systems? There are several which are substantially younger than our own, so there has been less time for tides to destroy the sub-satellites. There are also several examples of systems with giant planets at very large distances (usually these are also young systems), therefore having large planetary Hill spheres which could lead to large moons existing in wider orbits than the giant planet satellites of our own system. Wide moon orbits help with having large Hill spheres for the satellites.
So maybe some of the imaged giant planets have moons that themselves have moons orbiting them. No idea how you'd go about detecting them though!
Or perhaps it's all nonsense?