Asking “what” is a good idea. Or ask to repeat what they said “I didn’t quite catch what you said, could you repeat it please?”.

Yaowen, I don’t think telling people to not make rude comments or weird jokes makes one “thin-skinned” or “overly sensitive”. In fact calmly telling a person that you don’t appreciate rude jokes does require some “thicker skin”. Thin skinned people usually have harder time with confrontation, although it’s not a bad idea to learn,. I also don’t think telling others to stop means someone is overly-sensitive.

Now if a person can never take a joke, then it’s a different story but I don’t think that’s what is being discussed