I get this all the time, but that's probably because I really don't need to lose weight.

Well, I guess it depends on who you ask--one website that I use to calculate body fat% says my ideal weight is 111, which I've never been able to achieve. But I think that website is high. I don't really need to lose any more weight. I'd like to lose a couple of "insurance pounds," but it's not really a necessity.
But when people ask me if I'm trying to lose weight or express horror that I might be losing more weight, I usually just tell them that I'm trying to maintain my weight. That generally quiets them down. Luckily, here in CA, no one would ever suggest that exercise or veggies aren't healthy!
But I also think people sometimes just say that out of habit, not because they really don't think you need to lose weight. I find myself saying it all the time to people. Someone says they need to lose weight and the automatic response is to tell them they look great and don't need to lose weight. And, in my experience, most of the time that's really what people want to hear anyway.