Why is it that orphans love Frisbees so much?
Because they return eventually.
Okay, so listen up. This joke is about orphans, which are kids without parents, ya dig? The punchline is that orphans like Frisbees 'cause they come back, see? Like, uh, how they wish their parents would. This is super dark, and kinda messed up. You probably don't know anyone that's an orphan since you are a loser with no friends. The joke plays on the feeling of abandonment.