I don't think this is about being offensive or sensitivity. From the subordinates perspective, a joke about being fired could be a way of telling them that they are underperforming. Or it could be a false alarm.

It is perfectly rational for them to spend a huge amount of effort thinking and worrying about where they stand. If you say you wouldn't, then you are the one making a mistake. So in conclusion, making the joke imposes a big effort and burden on the target.