Playing dumb
How many of you out there reading this have had someone retell an embarrassing story about you over and over again to get a laugh at your expense? If you want them to stop making fun of you constantly, just play dumb and act like you don’t get it at all.
Ask them questions like ‘I don’t get it, can you repeat that part?’ or ‘Wait, I don’t understand. By saying things like this it will discourage them from repeating the joke in the near future because they will stop thinking it’s funny or even see that it is not bothering them anymore.