Here's the joke.
During his monologue at a Friars Club roast of Hugh Hefner three weeks after the September 11 attacks, Gilbert Gottfried joked that he had intended to catch a plane but could not get a direct flight because "they said they have to stop at the Empire State Building first". This was one of the first public examples of 9/11 humor. Audience members responded with hisses and a cry of "too soon!".