I tried to do that in the beginning, but there were times when people would just say "great hub, voted up" etc. Or they said something that I couldn't really respond to other than to say "thanks for sharing". I stopped commenting back after that. If someone genuinely has a question on one of my hubs or starts a discussion, I'll comment back. Otherwise, unless something other than 'thanks' can be said, I don't comment back on every person who comments on my hubs.
That's probably some community faux pas on here, but oh well. If someone is disheartened that I'm not saying 'thank you' for the six or seven words they left, then I would have been better off not having their vote or comment in the first place.