They'd have been cleared to FL410 (41,000 feet) by ATC before they left their previously assigned altitude. Asking for, and receiving, a different altitude, is very routine; pilots do it on many if not most flights to find turbulence-free altitudes, favorable tailwinds, etc.
According to FAA transcripts of air-to-ground conversations, an air traffic controller in Kansas City told the two pilots it was rare to see the plane flying that high.
"Yeah, we're actually ... we don't have any passengers on board, so we decided to have a little fun and come up here," one of the pilots said. The transcripts don't identify whether Jesse Rhodes or Cesarz made the statement.