It depends on the situation. My husband’s former boss was obviously threatened by him and while we were out to dinner, threatened his job. I wanted to stab him in the hand with my fork, but I restrained myself. The man was a complete dick and obviously lacked the balls to say what he did directly to my husband so he thought he’d go the back way and get to him through me. I wasn’t about to play his game. So I ignored the comment because me reacting would have fed his need for power. I told my husband after we weren’t in his boss’s presence so he didn’t go off at him either. He was livid when I told him, but he now had proof of what he suspected about this man and could guard against him.
However, if me pulling the person up about their behaviour wouldn’t put my loved one at risk or humiliate them further, I’d challenge them and call their nastiness out for what it was. If I thought my doing that would harm my loved one, but the comment needed a response, I’d wait until the person and I were away from others, and then tell them what I thought of their behaviour.