If anyone ever told a believable lie and then called you gullible, that's stupid.

The point of "messing with someone" is to toe the edge of what is believable to see how they react. If you end up straying into the realm of "totally unbelievable" without an incredulous reaction, then the label of "gullible" is deserved.

It's like a friendly duel of wits. An opportunity to sharpen each other's blades without any stakes. Probably a social survival mechanism.