To me, it totally depends on the context and their rationale in praying for me.If someone prays for you and if it offends you, Why?
It doesn't cost you anything
It doesn't take away your time
It doesn't require your effort
It doesn't take away your birthday
So....
Bob says I will pray for you
Bill says good luck
Sally says I wish you the best
Betty says may fate be on your side
Steve says hope everything works out
Aren't they all just hoping the best for you?
I'd almost always say 'Thanks'. But I could see it as being a more passive aggressive thing, potentially.
I've had a bunch of Christians ask if I was okay for them to pray for me (or my loved ones, etc) and I always found that nice.