I'd probably just pretend it didn't bother me for the most part, I'm sure your colleagues think he's an idiot for bringing it up. And if he said it directly to me again, I'd make sure there were other witnesses around and smile sweetly and ask if your refusal to take your husbands last name is a sore subject for him, because of all the women who have declined to take his last name or changed their minds after doing so?

If it backfires and gets people laughing at him instead of contemplating your last name, he'll find something or someone else to go on about.