His question wasn't appropriate in that setting and you handled it the right way.
Maybe if he worked at some blue collar job I could see it taking place on a break, but not in an office while you're working.
Men who usually ask such questions to other men do so because they are trying to establish some common ground on a somewhat distorted perception of masculinity.
Some people define themselves by their sex because they have some underlying insecurities, so they try their best to conform to their perception of gender stereotypes. He wants people to think he's a macho guy, that he likes guy things, and in his mind, going to a strip club is a normal guy thing, even though most men don't go to strip clubs....at least not regularly.
But in his mind, him going to strip clubs makes him an ultra macho guy, which places him very far from what he doesn't want to be perceived as...girly or gay.
That is also why he called you "dawg". HOWEVER, he is probably not a leader in this mentality. If he were in a group of men who he was aware didn't enjoy going to strip clubs, and instead liked cooking and gardening, he'd probably be into...or pretend to be into, cooking and gardening.
At least that is my take.