I've responded to scammers similarly. I'll pretend that I've fallen for it, but try to get them to reveal the type of information they are attempting to get out of me. It usually doesn't work, but it can be a fun social engineering experiment.
I've gotten much more rude to solicitors too, especially now that I have a no soliciting sign and we have a city ordinance prohibiting it if a sign is posted. The last couple times, I asked where the person lives. They don't really know how to respond, and I say I'll just stop by their house later on to talk about work. Gets them off script. And then I thank them for waking up my son from his nap.