"That's good of you" does express gratitude, but we only use it if someone has done something nice for us - helped us in some way. In general, though, we use it more in the third person (he, she).
"Oliver helped me move house last week."
"That was good of him."
If you're using it in the 2nd person (you), it's better to say "That's kind of you" / "It's kind of you" (or "That WAS kind of you" if it's in the past)
If you ask a stranger for directions and they walk with you to show you the way, you would probably say "That was so kind of you, thank you."
In general, if you don't always want to say 'thank you', you could say 'thanks so much', 'thanks loads', etc.
NOTE: There is no negative in "That's good of you", so I think you misspoke or the listener misheard.