According to Osho, he tells jokes because religion and life are a ‘cosmic joke,’ and laughter is our highest human capacity—the bridge to relaxation, love, and ultimately to God; jokes become prayers that open the heart and dissolve seriousness. He doesn’t laugh at his own jokes simply because he has already heard them before.
He tells jokes to help us laugh our way to God, and he doesn’t laugh because the jokes aren’t new to him.