In this article the writer talks about the gift of feedback and its benefits.
I agree, and would add:
"You heard. You listened. You said Thanks. You responded - you did something differently". Saying thanks and acknowledging feedback from a colleague means that you have listened to what they've said, and that you value the feedback. It helps build your relationship with that colleague and encourages them to come to you with more great feedback in the future.
But actually doing something differently, based on what that person said, is an even better way to get more feedback in the future and improve your performance as you go along!