Is it wrong to leave work on time? Co-worker keeps on making fun of me leaving for work on time.

No, it's not wrong at all. If your coworkers want to waste even more of their lives working for a company that likely gives zero shits about them and will replace/eliminate them at the drop of a dime, then that's their choice. If they're salaried, it's a dumbass move on their part. If they're hourly though, they may be seeking overtime pay. Either way, good on you for setting boundaries.

Best response is "I have a life outside work"

A friend of mine was the Senior Manager in a department of a regional utility company. If someone in his office tried to work past the end of the day he said he'd go ask them why. If they told him that they needed the time to get the work done then he'd say to them that this was his mistake as the manager in not scheduling tasks correctly and order them to go home. Rather unique for someone in his role, but yes, he didn't want anyone in his department working past their scheduled hour.

Facts. I actually had a similar situation at a previous company. I hit them with one of these and the look on their face was priceless. Even my own manager supported work/life balance.