Do you respond

Shalom y’all. I am a new Jew by choice that lives in the Bible Belt of the US and I just had my first encounter with a Christian not meaning to be rude but assuming I was Christian and therefore bring rude. The comment was mostly a joke but for some reason it got me all flustered and at a loss for words, which never happens to me.

So my question is, When someone says something like “Do you not have the love of Christ in your heart?” (again as a joke but also very serious) what do you say? Do you joke back with them? Do you just shrug it off? I know I am probably the only Jew they have met so they would feel really bad if they knew…

TIA!