Except for lowbrow humor (e.g. slapstick), in order to be funny, a joke usually needs to reveal a hidden (or not-so-hidden) truth.

For example, you can easily make a funny joke about Trump, by making fun of his bravado, and how everything is "huge" or "the best." We do it all the time.

But Colbert and Baldwin tell lies about Trump, and want us to believe that it's funny.