I told him to be a gentleman and he responded “I’m always a gentleman, just not with you!” haha. Why would he say that?

He’s always giving me a hard time. Joking and sometimes being mean to me. He likes to pick. When I called him out on it he made that comment. How should I take it?
I told him to be a gentleman and he responded “I’m always a gentleman, just not with you!” haha. Why would he say that?
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