Why is it not funny? Because its lazy and untrue.

So if you're gay and I pull a gay joke you'd be laughing?
I don't understand.

My point is, any joke that relies on a stereotype is not funny because its making fun of something that isn't true, eg all Jewish people are mean or what have you. So if your gay joke depended on me thinking, yeah, that's funny because all gay guys are really into interior design and cooking quiches, its not going to be funny, because I'm going to be thinking, but what about all the other gay guys who don't act like that.

A joke that begins "This gay guy walks into a bar in Texas..." is predicated on the listener having assumptions about what gay guys (and Texans) do in bars. Which bear no resemblance to the real world, where gay guys drink pints and Texans do cross-stitch. So its not funny.