The only occasion I can think of where such a message is useful is if it's not actually the owner of the address who performs the unsubscribe. If someone else unsubscribes my address from a service, without that confirmation message I'd be none the wiser.
For the vast majority of mailing lists, this is hardly the end of the world and it's probably a very, very minor consideration overall but still something worth thinking about, perhaps.
It would also serve as a proof that the unsubscribe request had been received and processed should a query ever arise.
This may be a classic case of over-analysing a very small thing, but they're just some points that came to mind.