When someone is conditionally released from prison or jail, they are usually under the supervision of a probation officer. This means on a regular basis they will be visited by this officer, who is supposed to make sure the former inmate is integrating back into society. This integration also means landing and holding onto a regular job. If a parole officer determines that a former inmate is violating the terms of their parole, then they will be sent back to prison. This is the societal context for the joke. The joke is funny because the answer is direct and unexpected (which is often the basis for humor). Most people who respond to the question will say positive things like "I enjoy the challenge of my job" or "I want to be the best provider for my family as I can", not something negative like "My parole officer".