It's self deprecating when you make ridiculously over the top statements about how awesome you are because it makes you look like an idiot. That old "I'm a pretty big deal around here" chestnut.
It is humour, whether or not it is taken as such is a different issue, when Bill Hicks gets up on stage and repeatedly tells people in advertising to kill themselves, he's not actually serious. Some might take that seriously but he's a comedian and it's humor.
If an advertising exec is heinously offended that he was just repeatedly directly told he ought to kill himself because he will never amount to anything or accomplish anything good in his life, does that mean that it wasn't humor?
You may well have a point about the venue potentially being inappropriate for this kind of thing, however to actually take the content of the comedy literally and seriously and be offended by it is just completely missing the point.