George explains that it isn't so funny because he feels a sense of responsibility for taking care of Lenny. Lenny's Aunt Clara, an acquaintence of George, raised Lenny. When she died, Lenny just started working with George all the time until they because so used to being together. Now, George feels the parental responsibility for Lenny's safekeeping.
This is odd for the other men at the ranch because of the nature of the cut-throat job market at the time; however, the other men at the ranch haven't had the family-like relationship that Lenny and George have been a part of which is why they can't understand how difficult it is for George to leave Lenny.