"Data" sounds close to the word "date". To go to a dance stag means to go alone, without a date. A date is a person who is someone's romantic partner for an evening. A statistician is someone who is an expert at preparing and analyzing statistics. Another word for statistics is data. The joke is centered on the word "data" because it relates to what statisticians handle, but it also sounds close to the word "date". 
The statistician attended the dance stag . He didn ' t have any data .