I do not think it would be a good answer, to say "thanks". If you did you might be going into agreement with the idea to some extent-- and, of course, you do not want that to happen. I think a smile or a "thumbs up" would be a more appropriate response. Of course, you know that the person telling you that does not really mean it-- they are trying to loosen you up by having you face up to the worse that could happen-- but you do not want to agree with that worst case.