Americans do tell good jokes against themselves in my experience - but generally they are about regions and States. I've heard plenty of Texas jokes and Yankee jokes, and my impression is that Texans and Yankees are able to enjoy them.

But maybe the USA as a whole is too big and too varied and uncertain of its collective identity for that kind of thing. I've never heard any good European Union jokes either (I don't mean ones about bureaucracy and that, though I haven't actually heasrd many good ones there either).

And behind all this there's a difference between jokes which are friendly and jokes which are contemptuous. Smiling cheerfully at a joke that is intended as an insult is not necessarily the right way to treat it.