If I visit a friend's house and they say 'Thank you for coming', a typical response I would give is 'Thanks for having me' and then add something like 'It's been fun'. More formally, you might say 'Thank you for inviting me. It's been a lovely evening'. If it's a public or business event and the organiser thanks you for attending, you might respond with a comment like 'I'm very glad I came. It's been very interesting/enjoyable.' You would never say 'You're welcome' when someone thanks you for your presence. This response is not at all appropriate. It also makes no sense to say 'Thank you for coming' to the host or person you have been visiting.

No, you can't say thank you for coming back to the person who thanks you for coming. Only one of you can come - which in this instance is you, the guest. The host, who welcomes you and thanks you for coming is already there. The correct response would be 'thank you for inviting me', or 'it is a great pleasure to be here' or something that indicates you acknowledge the honour to you in being a guest. Of course there are degrees of gratitude. If you are invited to a persons home, it is different to turning up for a conference.