Hmm. I think I'd have probably just given him a polite "Roger", and then maintained the listening watch. I quite often ignore controllers' requests for me to freecall someone, anyway.
A little while ago, I was denied a MATZ crossing by a controller at an airfield just south-west of the Heathrow zone (although I'd like to take the opportunity to say that controllers at said facility are usually excellent, for both MATZ penetrations and LARS). Controller wanted me to go east of his field. I wanted to go east, too - that was the shortest way. But there was a nasty piece of weather there, which was moving nowhere fast. So I request the MATZ penetration to the west, and he denied it.
I know this is Class G, and as long as I remain clear of the ATZ I don't actually need permission, but in this cases I decided it would be prudent to stay clear of the MATZ. After all, they don't create MATZ's for nothing, do they? I hung around for a while, waiting for the weather to move, and it didn't. Tried to fly through the rain a couple of times, but vis was far too low. Eventually abandoned the flight.
It was too long ago for me to really care much about it any more, just interested to see what you guys would have done in the same situation (since it's vaguely on-topic).
Cheers,
FFF
----------