They order some drinks, sit quietly and stare at their shoes until they've finished their drinks, then go back home and wallow in loneliness, wishing their social skills weren't so abysmal.
Anti-humor is a type of indirect humor that involves the joke-teller delivering something which is deliberately not funny, or lacking in intrinsic meaning. The practice relies on the expectation on the part of the audience of something humorous, and when this does not happen, the irony itself is of comedic value.