You're right, of course, but there's a difference between when a comedian says it, and when it is said amongst friends.
Do you berate your kids for being sensitive if they get bullied? If you do, do you truly think that it is more the fault of your own child than the bully?
I do agree that the degree of political correctness that has taken over today is fairly extreme, what with even my history professor calling blacks "African Americans." However, I find it flawed, and this is the context to which I assume Clint to be speaking, to think that just because "Sam the Jew" or "Jose the Mexican" don't react outwardly in a negative manner in response to cracks, doesn't mean that they weren't offended. And truly, if you don't care about what they think, why are you their friend?