Lenny informs Frank that he had two drinks and then woke up at the station; he doesn’t remember anything that happened, especially shooting up a strip club.
So, we know that Lenny is going to have a long way to go to get Frank fully on his side after a strip club shooting.
When Frank looks skeptical and Lenny asks if he can really believe he did this because “it’s me, Frank,” he responds, “Yeah, it’s you.
Meanwhile, the wee hours of the morning saw Frank get called downtown, where he finds Lenny without his pants and generally looking like hell in an office.