A friend said to me after he saw it. He didn't realise Arthur imagined the whole relationship.
Subtle storytelling is a dying art, more and more people need everything explained directly with no room for doubt.
How could anyone not get that? Right at the beginning of the movie Arthur drifts off into a fantasy where he appears in the audience of the TV show he's watching and has a clearly delusional conversation with the host. A large part of the uneasy tension of the film comes from the audience wondering whether Arthur is actually doing these things or whether he's just fantasising as his mental state degrades.