Uncomfortable situation at work leaves me pondering...

Hey all. I'm very conflicted on what action I should take in my situation.

I am a full-time (female) college student with an on-campus job. During my Thursday morning shift, one of my co-workers made a completely inappropriate comment, a "joke" that was insensitive and disgusting and just wrong.

I was complaining about a popular band, and he asked me if I would rather have sex with the lead singer of said band or with him. Needless to say, I was a bit horrified. I said I'd rather be a nun, or a priest or some sort of celibate person. I repeatedly said it wouldn't be the lead singer (big mistake on my part), and that it most certainly wouldn't be my co-worker. Mind you, I was super embarrassed at this out-of-the-blue question, so my face was flushed and tomato red. He said something like, "but by default it would be me, right?" I just couldn't come up with a response, so I said, "yes, if that's what makes you happy. If that's what you want to hear."

He continued to tell me it was "all right" to have a crush on him or other "authority figures." He's really not my superior, though, so I'm not really sure what he meant by this. I'm so creeped out by this, and I don't know if I should report him, confront him, or just wait it out. School is almost over, and I only work with him once a week.

I told another of my co-workers, and she said he was probably just joking around. When I said I didn't think it was funny, she assured me it was "just his sense of humor." I have told my close circle of friends, my roommates, and my sister, and all have encouraged me to report him.

I just feel a bit like a pansy, because it's not like he touched me or tried to cop a feel: he just asked a humiliating question. This guy is married, with kids, almost twice my age, and very sarcastic. I'm all for jokes, even some that are borderline sexual, but I feel like he really crossed the line. This is the first incident I've ever had with this guy, and I'm not sure that reporting him would be worthwhile.

Your suggestions or advice or similar situations, please!

TL;DR: My much-older, married co-worker asked if I would rather have sex with him or a with celebrity. Unsure if I should report him or just let it go.