Bully: "You are so stupid!"
Classmate: does nothing.
Bully: "Oi, I'm talking to you!"
Classmate: "Oh, you're talking to me? I thought you were talking to yourself."
The joke plays on a classic comeback. The bully tries to insult the classmate, but the classmate acts like the bully is just talking to themselves and is thus the stupid one. This is a way of saying the bully's words aren't worth acknowledgement.
bob
I said this at school, they were astounded at my quick roast.
bob
I'm sorry if you don't count it as a roast. but it's one I could think of