Ja. You should watch this video.
Although Two Door Cinema Club is a real band, and I'm guessing the Canadian guy meant that he played the band, not the made up album, at his radio station.
Maybe it is not that funny. What would you do if someone stuck a microphone in your face and asked you about all of these bands you've never heard of. It's not like Jimmy Kimmel is going to show the people that said they didn't know what the hell the interviewer was asking about. And if I have learn't anything about humans, it is that we are terribly afraid of looking dumb. Sure, these Coachella attendees look slightly silly for saying they want to see imaginary bands, but hipsters have to keep their cool, man. You can't look like you don't know about the underground bands. Unknown bands should be your thing, so you have to know.
Whatever. This was funny.