Wow, I'm glad I'm not alone with this problem! I was very overweight and decided after last Christmas to get back into good shape. I've lost over 50 pounds and am comfortably in a size 8. Not skinny by any means; not even thin. But I'm comfortable with it although I'm trying to lose about another 15 pounds to get into a 6. It amazes me how people kind of put me down for passing up treats and especially alcohol! I went to a major league baseball game with family members last week and you'd have thought I was anti-family somehow because I didn't want to get anything to drink.
I also have the "you exercise too much" comments. I workout 5-6 days a week. I don't discuss this with everyone, but I spend my weekends at a campground where I have a permanent camper, so they see me running, etc.
I have just come up with the answer that works for me----"thank you for the compliment. I feel healthy and great, but will feel even better when I lose a few more pounds" and I change the subject.
I think you just have to be firm about not discussing it further and move on. Sometimes I feel rude, but if I don't think the person is asking me questions for a positive reason (ie, they want to know what has worked for me so they can follow my lead), I cut it off!
Good luck!