How can I implement chain of picklists - 5 Whys?

Hi, Thanks for looking into my question. I'd like to build a new feature that allows the Salesmen to enter very detailed lost reasons. such as:

----Example:
Opportunity stage changes to Closed Lost
-> Lost Reason Category: Low Flexibility
-> Lost reason sub categories for Low Flexibility : Lack of custom fields
-> On which page did you need the custom fields? : Sign-up page
-> How did you want to use the custom fields?: Ask custom questions before signing up
----

What would be the best way to implement it?
I was thinking about setting up a custom object called 'Lost Reasons' but even then I couldn't think of a way to have 5 level of picklists. I could create many custom picklists and use visualforce page to change the following picklist based on the previous picklist selection. However, it wouldn't have been able to be summaried in the Related List on Opportunity page.

I am soo lost

Please share your wisdom

Thanks and kind regards,