They did not take him because Neville is somewhat of a "hard target" and because they were not told to do so.
Neville is an interesting character. Toward the beginning of the series, he is awkward, and shows little magical talent. But toward the end of the series, he blooms into a formidable wizard. In that regard, he lost all fear of Death Eaters.
Also, he has an abiding hate for them as a category, largely because of what they did to his parents. Though it's not stated directly (but definitely by his actions), Neville has embraced the grim reality that he would probably one day die fighting Death Eaters. His comment to them is just the beginning of that journey. Fear is what makes a Death Eater powerful. Lose that, and they are merely thugs to be eradicated.
Neville is from a well established family. To the extent that Death Eater activities are kept low profile, if possible, means that messing with this particular family should only done if absolutely necessary.
Cross Voldemort, and you die, period. If you don't know what he plans with someone, then you take you life into your own hands if you "help your master the wrong way". So Death Eaters on a mission follow orders to the letter pretty much.