How to respond when insulted by a grad student in a different department?
I'd probably document it (make a dated note to yourself someplace noting what occurred and exactly what was said, while you still remember it) and then ignore it, unless it becomes a pattern. The purpose of documentation is to start a record in case the behavior turns into something more regular.

The exception I would make is if you have any reason to believe this student is abusive/insulting to anyone vulnerable or deserving more protection. For example, if the commentary is racist, sexist, homophobic, etc. If it's more of a "(expletive) you" I'd let it go.