It's a variant of the "No soap, radio" joke. The purpose of the joke isn't to provide a logical punchline. The joke is instead a test for the target. It's aimed to test the target's willingness to conform to social pressure, even if the social norms have no practical rationality, ie: laughing at ...
I like that the Joker has the same shotgun in this scene that he took off the banker in the opening.