Chevy Chase is notoriously thin-skinned and self-destructively reactive, to the point where I wonder if he might have psychological issues. Greater than usual for a comedian even.
That said, I have never really gotten the concept of roasts. They aren’t fun for me to watch, even if the subject is someone I don’t like. Maybe especially if the subject is someone I don’t like - it’s one thing that can give me sympathy for them.