It is an urban myth that kangaroo means "I don't know".
Supposedly, some explorers asked an aborigne what that animal was pointing to a kangaroo. The native, not knowing what he was saying, said "kangaroo" (i don't know). This is a completely made up and untrue story.
In Baagandji, what it means is "horse", because in 18th-century Australia, there were 700 Aboriginal tribes speaking 250 separate languages between them. "Kangaroo" comes from the Guugu Yimithirr language, spoken around Botany Bay and first heard by Europeans on Cook's expedition in 1770.
Now, when the first English settlers arrived 18 years later, having learned the word "kangaroo" from these peoples they arrived in a completely different part of Australia, so, wherever they went, they proudly used the word "kangaroo" to the locals, who, of course, had never heard the word because they spoke a different language.
So, the locals, including the Baagandji, thought that it must mean "an animal we've never heard of". So when they first saw a horse, they thought that must be what this strange word "kangaroo" is.