Thank you?

Yes, we say "thank you" in response to "I'm sorry to hear that."

Thank you Aimi for your very good answer.

It is an expression of consolation or regret. You don't have to answer any specific thing. You just continue with your story. A person uses this expression to show that she is listening to the speaker and cares for what the person is going through. This website gives an example: http://idioms.thefreedictionary.com/sorry+to+hear+that