It must be that people wanted to tease you about her for years, and are bemoaning the lost opportunity. Maybe they are cranky about being deprived of years worth of fantasizing about a female-you. Maybe they wanted to kidnap a family member in the past, and would have considered a sister an ideal candidate, but because they didn't know about her, they scrapped the whole plan?
Now that you have said that, I can guarantee that if you could see inside the fantasy imaginations of certain people you know, you would be scarred for life.
It's subtle, but generally guys who have sisters (1) have better manners around women, and (2) write better female characters. It isn't a guarantee, but you do tend that way!
I don't think having a sister has anything to do with that in my case. I've always been a pretty atypical male, one who has associated more readily with females than others of my own gender.