The joke is a play on words. The phrase 'you don't know what you're missing' generally is used to describe that something is really good and that the person in question would probably really like it.  However, 'missing' in this context could mean missing shots on a target. Since the person is wearing a blindfold, they won't see what shots have missed, and therefore 'they don't know what they are missing'.
If you wear a blindfold at the shooting range , you won ' t know what you ' re missing .