Mostly, I just smile and ignore it. In my experience, the people who do that are generally mediocre dancers who don't lead particularly well and don't know how to adjust their lead to different partners. It's their own insecurity talking.
I do like the idea of saying, "could we go to the corner and you could show me the woman's footwork for that?" Of course, they won't know it, 99% of the time. If you find someone who does, maybe they are worth listening to!