A joke in and of itself is not funny. The funniness of a joke depends not only on the content of the joke itself, but also the person telling the joke and the audience receiving the joke, as well as the environment in which the joke is told. As an argument for the first premise, that jokes depend on the teller, it's well known that some people don't know how to tell jokes (this is illustrated in Finding Nemo when the father clown fish tries to tell an anemone joke at the beginning of the film). He starts telling the joke, and then realizes that he got one detail wrong, and so has to backtrack, and rambles on about why he got the detail wrong, etc.

The audience of the joke also matters. I have an infamous joke that starts with "PHP and MySQL walk into a bar" and whose punchline is "So then PHP says 'That's not Backus Nauer, that's Boyce Codd!'" which is probably completely incomprehensible to people who haven't studied computer programming language design, relational databases, and web application programming. To those that have, however, the joke can be quite funny indeed. There are probably jokes in every specialized domain which will only be comprehensible, and therefore funny, to people who are part of that domain: Law, medicine, engineering, etc. I can only partially grasp engineering humour, but I've no chance with medicine, unfamiliar with the majority of biology terminology. The most extreme example of the audience not understanding the joke is telling the joke in a foreign language. I think François Pérusse's "L'album du Peuple" series is extremely funny, but it certainly won't be to people who don't understand French.

There's also the case where people understand the joke, but it isn't funny from their perspective. If a non-Asian person tells a joke that denigrates Asians, then most Asian people probably won't find the joke funny. However, is that same non-Asian person tells the same joke to a non-Asian audience, they may very well find it funny. And to combine this with the "Teller matters", if an Asian person tells that same joke to an Asian audience, then that audience may suddenly find the joke funny again.

As for the environment, I'm sure a lot of you noticed that things are much, much funnier when you're tired. Some of the jokes that have me and my friends dying on the floor laughing at 3AM, we wouldn't find the least bit funny during the mid-afternoon. Unless of course, we're reminiscing about it in the mid-afternoon, in which case the memory of having laughed is usually enough to crack a smile on our faces. Similarly, a joke about an old man on his deathbed may be funny at all times other than when at a hospital, funeral, and other places where one may find old men on their deathbeds to whom the audience may be related to.

As an example of a combination of all three factors, a joke which requires the teller to pronounce the joke in just the right way, for the audience to have experience certain movies, and for the environment to be of a electric silence waiting to be broken up, having the teller utter "Sadatay!" at just the right moment could 'cause the audience to completely crack up.

Therefore, when someone tells a joke and no one laughs, to say that the audience has no sense of humour is a very weak excuse. Much more likely, the teller has miscalculated himself, the audience, the environment, or the joke itself.