I've always been under the impression that immunity from prosecution ends outside the Capitol building. Surely the founders did not mean to create an imperial privileged class.
Of course they didn't, but their successors have done just that. But still you are correct, it would seem that, under that old rag, The Constitution, it should be possible to question them in *any other Place" for things said other than in "either House". The privilege from arrest is likewise limited to when traveling to and from a session and during a session, but even then they can be arrested for felonies, breach of the peace, and of course, Treason.