"Has anyone ever asked someone who makes that "I'll take my business elsewhere!" or "I won't be back!" statement why exactly they think they're important enough that anyone in the world would care? I'd be curious to hear the answer, though I imagine it'd really come down to the usual boring arrogance. I've always been either an uninvolved bystander or working when I've heard it, so I've never been able to ask."
In a situation where repeat business is an issue, like a restaurant or store, I find such a statement to be more reasonable because it can indeed matter to the business why someone is choosing not to return. It's often said in a heated moment, but it does carry a certain sense to pay attention to the statement in case there's something about the business that's driving away customers. It's at the garage sale, where repeat business is functionally irrelevant, that the person so stating comes off looking like a fool, and so if I ever felt the need to comment on the statement in that scenario that's the angle I'd address.