Seriously, I love that line. And I've heard it a billion times, between seeing the movie in theatres when I was eight-going-on-nine, playing the GMC soundtrack album over and over, watching the movie at least three times on TV and now owning it on DVD with my wife...it hasn't grown one bit stale.
It's just a simple bit of breaking the fourth wall, no more, no less.
(Footnote: One of the things I loved about seeing The Muppets in theatres this past fall was the fact that it was the 30-year anniversary of the first time I ever saw a Muppet movie in theatres...I didn't see TMM until a TV broadcast a year in early 1982...)