Well, look at it from their standpoint. They know you received the rejection, and they assume you understand it's not personal. If you reply to confirm this, it's most likely telling them what they already know and adding to the deluge of other emails waiting in their inbox. Replies such as these are courteous niceties, but sometimes there's simply no time for such things in the business world. It seems slightly cruel to us outsiders, but in an agent's shoes I think I would quickly tire of an inbox full of "Thanks anyways" in addition to all the queries.
Hi, my name's Fenris. I'm a thousand-year-old monster who's broken free to destroy the world. Your kids will love me!