I don't have a lot of experience in people telling me they'll pray for me or for a loved one I just lost but perhaps if you feel compelled to respond in some way you could say "Thank you for your thoughts." It acknowledges that they are offering you a condolence, even if you might not think of it as one, while not giving credence to the efficacy of prayer.
Teenaged X-Files obsession + Bermuda Triangle episode + Self-led school research project = Atheist.