In friendships, this maybe something that happens. Friends sometimes tease each other. But if it is a constant thing, you definitely should let your friend know about it. Have a clear conversation about it, letting them know how you feel about the matter.
If your friend still continues with the practise, you can avoid putting yourselves in such positions again. Yes, this would mean you avoiding them and hanging around with them less often. But, this doesn't mean we should hate them or hurt them in return. You can tell them the reason and let them know that it is difficult for you to take the unnecessary teasing.
But we should remember that, Even in such a scenario, we shouldn't miss the opportunity to show love to them when they are in situations of need. Don't pay back evil for evil or hold a grudge against them. Always remember that anybody can make mistakes, but sometimes loving and kind acts from our side will help change the person. So it may be our wise and loving actions towards them that'll help change them.