Who is Alfred E. Neuman? Really, Pete! You don't know? No kids at school ever picked up a Mad Magazine or noticed one that had been lying around the house?
Yes, a better reply would have been: "What Me Worry."
Mad Magazine may not be so big now in the internet age like it was in the 60's and 70's, when it was about the only subversive antiwar publication that could get a regular spot on store shelves with the 'respectable' magazines and with the trashy tabloids at the supermarket checkouts, but there's no way he never heard of Mad or their mascot! The editors at Mad may have taken offense at his denial of their mascot (who was a real person in actual fact)