Here's a slightly different version from The Little Mother Goose (1912), illustrated by Jessie Willcox Smith:

Butterfly, butterfly, whence do you come?
I know not, I ask not, I never had home.
Butterfly, butterfly, where do you go?
Where the sun shines, and where the buds grow.

Here's a traditional Mother Goose rhyme called "Butterfly, Butterfly" and a wonderful animation that goes well with it.

Click "Add Butterfly" a lot of times to see a spectacular display!
This movie requires Flash Player 8. Download it here.
My six year old daughter drew the images and my husband, Jason Pomerantz, programmed the movement.