https://youtu.be/Cfp_b-xvf5o

Arthur when laughing to himself, is asked what's so funny. He said, "I was thinking of a joke"

Right after his reply, you see a flash of Bruce in the alleyway with his dead parents.

When Arthur is asked if he wants to tell it to the doctor, he says, "you wouldn't get it"

I'll get back to that in a second.

Earlier in the movie, I'm pretty sure it's during his first therapy meeting, you can see Arthur banging his head on a door window. In an asylum, with the same outfit, and he's the same age(more or less). Him banging his head on the window makes him a danger to himself.

At the end of the movie, Arthur is walking away from the room he was just in with bloody footprints. He obviously just killed that doctor, meaning he is also a danger to others.

People who are a danger to themselves and others, they dont normally get to just leave a mental health facility.

This makes me think that Arthur never left the asylum at all.

Back to the first part of my theory.

When Arthur says, "you wouldn't get it" I think he is referring to the fact that he never left, and none of the movie actually happened. It was all in his head and the reason she wouldn't get it is because only he truly understands the "joke"