Somewhere or other I read that the complete phrase, from Miss Manners, is along the lines of......
"How kind of you to take an interest *in my private business.*"
I should think that would stop just about everyone, except perhaps the terminally clueless.
I haven't had an occasion to use this since I learned it on ehell. I can think of some instances in the past when it would have come in handy, and been deserved. It is a very strong statement, and can probably be reserved for the pesky people who won't give up.
I think that most people who ask unwanted questions or make personal comments aren't really thinking very carefully. Those people would probably stop if told politely something like, "I just can't discuss this," followed by bean dip.