You may be right. I didn't hear this, but only read it, and don't know the expression on his face or the tone in his voice. Said in the right way it could get a big laugh coming from someone who is as masculine as Arnold. He does have quite a sense of humor.
He also makes a lot of self-deprecating jokes about "Sleeping with a Kennedy", or being made to "sleep on the sofa". etc.
You are right, it wwould help if we could see or hear.