Indeed, don't bite, that will feed their amusement and your anger.
Tell them that it's legal. If they persist, then ask them to 'please report' you 'just like the other 100 people before him'. 'Pretty please.'
If he really thinks it's illegal, he'll be confused. If he knows it's legal, he'll say he won't report you.
Then there's also other mindgames of course :) Be creative, have fun! Or just ignore him from the start and save yourself some time.

[edit] Oh and always stay nice, because if a GM reviews the conversation, your statements will be compared to what is allowed in WoW. Just point out nicely to dual-boxing.com/wiki if people don't understand what you're doing.