I have a friend who is always saying things that are absurd and thus obviously jokes. That is, they are that way to HIM. I almost always have to ask, "Are you joking? You're joking, right?" And sometimes he messes me about a bit (that's okay, as long as he stops when I tell him it's really serious) and says yes, no, yes... and I have to go, "No, you have to tell me seriously now, I don't get it. Is it a joke?" Then I get my answer (and he's nice and explains why).
Edit: I just remembered a conversation I had with the girls next door [ages 11, 11, 11 and 14] yesterday. They wanted to show me some episodes of a funny cartoon they had found on YouTube. Then they hesitated and one said, "Well, WE think it's funny. You're probably just going to point out all the reasons why it isn't funny or doesn't make sense. But let's watch it anyway," and another one said, "You'll probably think it's weird."
I laughed at the show and didn't say anything. It WAS weird. But I never realized until then that I came off this way with humor. I didn't know that was a problem I had.