I think this may depend a lot in which European country. UK is absolutely filled with self deprecating humour no matter your race or sex.

I am currently at an hotel with an international audience and was part of the daily 'show' a couple days ago. I made the entire audience laugh when I joked about not knowing how to sexually satisfy a woman (I am a white man if it helps).

Think it depends a lot on the general tone. Are women targeted for sexist jokes as much as men and the jokes are free for all? Probably ok. If 95% of the sexist jokes are about women, probably not ok.

But for example, I found that a lot of Eastern European men make sexists jokes that are mean and at the same time, can't take the smallest joke about themselves (or worse, their own sexuality).

Context and culture matters.