Let me rant for a minute.
Social media marketing is supposed to be able to the connections first, promoting yourself second. The name itself implies this -- SOCIAL MEDIA... A form of media where you can be social.
When you are connecting with someone you meet for the first time you do not say "THANK YOU FOR FOLLOWING." Connecting with people via Twitter should be the same idea. It is rude (IMO) to say thank you for following. It implies that the relationship is one-sided, not a conversation.
It isn't just brands that say "thanks for following," I see this with people all the time.. Either through a tweet, or auto-DM (don't even get me started on my hatred of the disingenuous auto-dm on Twitter). I know
My recommendation: If you are trying to start a conversation with someone who just followed you on Twitter, then make it personal. Take the time to check out their bio and learn something about this person. Tweet them saying "THANKS FOR CONNECTING" and say something about how you love XXXXX (insert something from their bio) also. This is the way to create meaningful relationships on Twitter, not just followers.