Sometimes I use "Good one!" Said very dryly.
Or, if I can get away with it, I try to feign ignorance and take their outrageous statement literally. Then you can say something like, "How unusual! You mean every immigrant you know has actually gotten one of your friends fired and taken their job? What very different circles we must run in! I've never heard of such a thing," etc. etc. until they have to retract their "joke".