He also says "they wear them" when the question was if they like them. The two are not necessarily mutually exclusive. Make him wear a bra and ask if he likes it, then interrupt him and say he is wearing one.
I assumed he was setting her up for the punchline of repeating the question about whether they like to wear them. It comes across as self deprecating humor at his own expense while reinforcing her point.
Ask him if he likes wearing a tie. I don't know anyone who actually enjoys the process of wearing one, just being seen in one. Little garrotes are uncomfortable.
Wrong. His original question to her was if she wore one, then she turned to the audience and asked the ladies if they liked wearing them. He thought she was about to ask if they wore bras and preemptively said "they wear them."