People always ask me: “Why?! Oh God why?!” Mostly at the beach.

In this self-deprecating one-liner, Conan O’Brien plays on the idea that celebrities are constantly questioned about their choices (“Why?!”), then twists it into mock-tragic disbelief at his very existence. The punchline—“Mostly at the beach”—adds an image-based insult: the beach is where bodies are on display, so the joke implies people react to seeing him in swimwear with exaggerated horror. It’s a classic O’Brien persona move: turning attention into ridicule, heightening ordinary social awkwardness into melodrama, and using a sudden, specific setting to sharpen the comedic surprise.