If that is a joke then accept the joke unless you also dont give a joke about them. Bullying is just normal for a close friends but one the bullying becomes severe then you should decide as soon as possible before it gets worse
Yes, if your friend bully you too much and you are affected by it, then maybe its time to tell him or her to stop. If he or she is your real friend, he will not harm you, instead he or she is the one who will stand up on your bullies and gonna protect you from them. Real friends always have your back, like wise, you always have their back if necessary. True friends do not abandon each other,