When I vote to close a question and leave an explanation, a common response is
Here are dozens of older questions that meet the same criteria. Why don't you close all of those?
Should I respond to comments like these? If so, how?
It is up to you whether you decide to respond or not. I think it is important to respond so that the user knows what the deal is on the SE network.
My answer to that kind of comment is that I've not voted to close the other questions because I've not encountered them yet.
Sometimes the claim is actually:
You cannot close my question for reason X unless you catch all other questions that should be closed for reason X. If I can find one such question that is not closed, then you cannot close my question.
My response here is that this is just not how the world operates when it comes to enforcing rules. I don't know of any case where the mere existence of people who got away with breaking the rule entails that the rule cannot apply to another individual. Note here I've emphasized "mere existence". It's another ball game if someone can prove that preferential treatment is happening, but to prove preferential treatment, the evidence has to rise quite a bit above mere existence. And if a user said they'd have proof of preferential treatment, I'd suggest they send the evidence to the SE staff (with a warning that they better be sure that their evidence is rock-solid).
If the user presents a list of other questions that should be closed, in all likelihood I'd vote to close them, within reason. I'm not going to spend my time going through a list of dozens of cases just to humor someone who wants to keep their question open.