I have gotten that a few times.
What I do ... or use to do as Ebay changes their rules every other week it seems

, is :
A) If they have no feedback, I just go in and cancel any bids placed on the item by the guy and click the never allow to bid button (or whatever it was called). I do this as I don't want to hassle with a guy winning and then not paying, or winning and then just being a dick and posting negative feedback because I wouldn't sell to him at the price he wanted.
B) if they have a lot of feedback, I do just what you did. Thank them for looking into the auction and wish them luck.