Oh that would be so annoying, but if I heard something like that, I would just say that the dog would have to get through my 70 pound dog first because he would not like it if somebody hurt his kitty. He thinks he can torture her, but if someone (other dog) goes near her, he kind of gets huffy and protective. I guess it is that brother/sister thing. She is mostly indoors, but we have had other dog visitors, and I have seen them try to sniff her and he jumps in front of her.
I am sure they thought they were being funny, but I bet if you had joked about their animals in some way, they would have seen how very UNamusing it was.