Its actually a form of anti-humour.
The point of the joke is to make people think something funny is going to happen, but when they say the punchline its just the truth and not funny.
The people laugh at the lack of punchline, and not the joke itself.
A short version of the shaggy-dog story

You say you really understand the joke OP? It was the first thing I ever learned in Latin...until you've done that, you really don't understand the joke!