OK, fine...here's a less pithy answer.
First, a comedian goes from getting instant feedback from a group of people...to being locked inside his own (often hyper-critical) head, instantly upon leaving the stage. Our thoughts are a jumble of pride, ego, analytical method, regret, self-doubt, need, relief, etc.
Often, someone giving a comedian a compliment immediately after they've stepped off stage is met with a barrage of self-doubt--as the comedian is remembering everything that they either forgot to do while on stage...or remember everything that didn't go quite as well as we'd hoped. We've also come from a place where we've been self-deprecating for positive effect. It is easy to sandblast a casual well-wisher with our self-hatred and denial. (Which makes them second guess whether or not they should have complimented us...)
If you can recognize that in yourself, as a performer, it can be a good thing to simply disappear back into the green room immediately after you've performed--put on headphones and just allow yourself the time to transition into a more normal headspace...
Realize that the opposite reaction is just as true--that comedians, pumped from the high of having just been performing for a room full of people, can be too full of themselves...and react to any post-set comments with a barrage of "yeah, how awesome am I?!?"...which can be at odds with someone who didn't really know WHAT to make of your on stage efforts and thought that a quick "Nice Set" was a reasonable way to gloss over things without being rude.
Other comedians, especially, are polite enough to say "Nice Set" to almost anyone coming off stage, regardless of what they actually thought of what they've just seen (if they've even paid ANY attention to it at all, as they're probably concentrating specifically on what THEY'RE going to do.)
That's why, a simple "thanks" is almost always the best answer.
No one is expecting much more...and if they are, they'll ask you some questions or they'll tell you what they specifically liked about what you did. It's still best to stick with a simple "thank you" as long as you can...but if they ask for every stray thought stuck inside your head, it's their own damn fault when you give it to them.
pg--I, myself, have a strong tendency to complain about what I've just done on stage immediately after my dismount. I'm still working on taking my own advice.--seattle