There really should be an "other" option.
My reaction would really depend on who called me fat. If it were my partner, I'd probably call him a jackass, make it clear that he'd hurt my feelings, and walk away so I could cool off and he could think about it.
If it were a stranger, I'd probably just roll my eyes at them (as in "You need to insult a total stranger to feel better about yourself? Good job. You're a selfish cretin."
If it were a friend, I'd explain to them that- whether or not they're joking- that's a hurtful thing to say. It's like "Yeah, I AM fat. And you ARE ugly. But I'm too polite to just come out and say 'you're ugly'. Show me the same consideration.")