I would have said "thank you for your kind comment" or "why do you say that". I'm sure she would have been the first to give you the scathing look if your daughter was running around.
Don't worry about whay other people say, I'm sure you have your reasons for using a harness. I agree with Wile E in that you should limit it's use. I can see using one at a real busy fairground or something like that. Nothing worse than a missing child.
I have twin girls, a harness sure would have helped while out shopping.