There's very rare occasions where it's worth it to either correct bad behavior or (more likely) to just remove yourself from future interaction with a person.

If I had a colleague that every day told me I wasn't smart enough to work there and that I was pathetic and he knew I was an idiot because I was Mormon and constantly said degrading things about me and my beliefs, I would find that offensive.

Doesn't mean I'd whine about it, but I certainly would take steps (as much as possible) to avoid interacting with him.

The thing I don't get is finding someone or something offensive and then continually going back to it to get more offended