Mostly it's because whenever someone tells me this I never actually have lost weight. A lot of the time I've gained weight and they must notice a change in my body shape so they feel the need to comment.
I would rather they just say "You look good" or something because losing weight isn't necessarily a positive thing.
Do you consider it rude to bring up the subject of weight loss to a person who has never mentioned anything about their weight or dieting?
I purposely avoid talking about my own weight/diet/body issues because I don't want anyone to draw attention to my weight, positively or negatively. It's just a subject that bothers me to talk about at all.