If I had a therapist and they started doing that I'd start fearing that they are going to call the police later to take me and put me in a mental institution
To add to your point. It also, in this case, subverted my expectations of what the joke was going to be. As the standard one just implies the therapist is taking notes because you've done something weird.
The expectation is subverted, as the therapist is just stealing the joke instead.
Subverted expectations are often a key part of humour.
