This happens to me quite regularly - but mainly because I mess up the punch line in some way. The last time this happened I told this joke:
q. What happened when the dog went to the flea circus?
a. He stole the show!
But when I told it I just said circus (instead of flea circus)
Remarkably - one person did laugh, but nervously, like she thought it should be funny but she didn't quite get it.