Okay, found it.
Honestly, hard to say. He did have a smirk on his face, a self satisfied chuckle, and a bit of a shrug leading up to the line, though he kind always has a smirk doesn't he. There was some audible reaction from the audience, but with absolutely no pause to allow for a laugh, hard to tell if it was a laugh or a collective, "Uhh, wtf?"
Watched it a couple times, and I honestly can't say one way or the other. I have no doubt that he has no ability to deliver a joke, so it is very plausible that he though that was hilarious.
link. Judge for yourself.