What does the following English joke mean?

Story: Many years ago, a father and a mother wanted to go on holiday, so they decided to go to town at night. They call the people they trust most to look after the children. When the nanny came, even their children had fallen asleep in bed. So the nanny just checked whether the child slept well and sat down. Late at night, the nanny felt bored and wanted to go downstairs and watch TV. But she can't see it because there is no TV downstairs. She called the children's parents and asked if they could watch TV in the bedroom. Of course, the parents of the child agreed. But the nanny wants one last request. She asked if she could cover the clown statue with a blanket or clothes, because it scared her. There was a silence on the phone for a while. (Dad is talking to the nanny at this moment) He said, Take the children out ... We will call the police ... We have never had any ugly statues. That clown is probably a murderer who escaped from prison. There was silence on the phone for a while. (The father of the child who is talking to the nanny) said: Take the child out of this house ... We will inform the police ... We don't have a clown statue ... The children and the nanny were murdered by clowns. The clown turned out to be a murderer who escaped from prison. If you don't forward this article within 5 minutes, the clown will stand by and watch you with a knife at 3 am.