Because that is not a fucking joke, and it’s not an option.
Sam looks legitimately scared and Dean’s face automatically switches to “I’m going to kill you” mode.
Henriksen spent all his time focusing on Dean here (and in general) and either underestimates or completely ignores Sam and the threat he presents. Note that this is the line that wakes the sleeping lion in Sam. Prior to this, the agent didn’t even warrant a glance from Sam. Now, he has the younger Winchester’s full attention, and he’s not even aware of what a bad, bad thing that can be.
I re-watched this episode not too long ago with on netflix, and it’s not giffed here, but go back and look at Sam’s face when Victor insinuates that John sexually abused Dean. He goes from “oh shit, I may never see my brother again,” to “what the fuck did you just say about my dad?” in less than a second. Whereas Dean just laughs it off. Like, before that line, Sam is angry and concerned, but that line actually makes him sit up straight and glare at Vixtor.