It doesn't address the feelings of the person or help their defensiveness, no. It just makes it less likely they'll continue to push against it.
But it really doesn't though. In the example of the off color, (e.g. racist), joke, saying "we don't do that here", doesn't specify what "we" don't do. We don't make jokes about that specific race, but others are ok? We don't make any race based jokes, but sex based jokes are OK? We don't make jokes specifically about that topic?
Its farm more effective to say something along the lines of "what you just said is inappropriate for our work environment, please keep others in mind when making jokes"
It's pointing out an instance of transgression, not articulating a general rule. There probably is or needs to be a rule as well, but this doesn't by itself tell you what it is or define its bounds.
You want to separate the definition of a rule and its enforcement. Even if the rule is just an informal social one among a friend group this is valuable. Think about the common trope of someone in a group making a joke about a car accident, potentially funny, but not knowing someone else in the group recently lost a parent in a car accident. You shut them up tactfully and then give them the context of the transgression later and potentially debate its boundaries then if that's valuable.
What you absolutely don't want is, on the spot, having a public group-wide conversation about jokes about car accidents. Are they ever ok? Ok when someone isn't grieving from one? How long a buffer do we give for grief? Those are probably useful questions for this group to tackle, but this is the wrong time for it. "We don't joke about that" is good enough for now.
It is important that everyone is aware of the rules, (boundaries), not just the person that may have violated them. I agree a public group wide discussion is not appropriate, but we still need to communicate what rule was violated for the sake of the entire group, not just the transgressor.
This of course is not speaking of outright racism, but an example might be wearing a sombrero on Cinco de Mayo. Some workplaces would find this perfectly acceptable, whereas others might deem this racially insensitive and rude. It's not outright bigoted, (in my opinion), and not meant to cause harm, but the workplace culture is the what determines if it is acceptable or not.
It's the hardline bigots who, again in my experience, cannot tolerate being confronted and feign ignorance in an attempt to misdirect. I'm pretty sure, if you found yourself face to face with one of these, you would be able to identify them easily.