I was at a dinner party once a couple of years ago in Paris and there was an Israeli guy there who worked for decades in the US. He started telling jokes, and eventually got to one where the entire punchline was saying the N-word. It was one of those jokes that isn’t funny at all, unless you’re the sort of person who thinks that just saying a racial slur is a source of humor. The French people there didn’t get it, since, um, they don’t have a history with that particular word.
That’s basically what this is, except sexist. It’s not really funny, unless you think that just saying something sexist is funny in and of itself. It takes a special kind of person to think that, who’s probably also the kind of person who would unironically tell you to lighten up and laugh at the joke.