He doesn't. That's why he's upset when the doc says so. He wants to fool the doc (and the people) into believing he's crazy (and thus escape punishment) while actually considering himself sane. He thought he could outsmart the doc by playing the crazy part so well that the doc couldn't tell the difference.

Then, in court, the doc is asked for his evaluation. And he says yes, the Joker is playing the part of a crazy person. (Which the Joker didn't want him to figure out.) But, actually, beneath that, he really is crazy. (Which pissed the Joker off. "He was supposed to prove I'm insane, not believe it!" Which is why he's so angry when the jury comes back with a verdict of insanity, after all. Because, at that point, they were confirming the doc's diagnosis - that he really is insane, not that he'd played a joke on them by tricking them into believing he was.