Some people are just a little afraid of the unknown so they joke about it or make fun of it. Then again, some people just don't know better...as in they might not get that a transsexual isn't exactly a way to refer to someone. They think of it in terms of, "He, she, gay, lesbian, ->-bleeped-<-, transsexual" when really it's just "He or she". Well, not just he or she...there was another word but I forgot it...
Anywho, if they do mention it again around you, you have the right to calmly confront them about it. Though if you do choose to, try to do it outside of the public eye so you don't run into any problems.