It's meant to be offensive, but you can return it playfully with "Why? You need company?" Or, "It's no fun being there by yourself, is it?" Or, "I've heard the weather is nice." Or, "I visited, but they said I was too heavenly to stay."
I never tell anyone, "Go to hell" as hell is real, nor do I believe it's sin to tell someone that, maybe just really rude. Nobody really means it when they say it. Lots, if not most, of the people who say it don't even believe in hell. Anyone who does believe in the existence of hell knows that they hardly have the power to condemn someone to damnation. So they don't really mean it. They actually mean, I'm kind of annoyed with you, so would you please get lost?
Is it offensive? Well, that depends on a lot of things, like who the person is and if you're religious or not. To a dedicated Christian, being told to go to hell can be very insulting. But other people just shrug it off as no big deal.
Don't worry about it, It was probably meant to be offensive. Do not get serious about it because in all likelihood they were just trying to get under your skin. You should just laugh and shake your head. Since they are being ridiculous and saying that in the first place.
it depends on the context... you have to determine from the tone of their voice and their body language whether or not they are serious of joking. If they are serious then they're obviously pissed off about something and should be given their space until they calm down. If they're just joking, then joke along with them... "eh... been there. Hell is so overrated; it's pretty dull actually". "I went there LAST summer (there actually is a place called Hell in Grand Cayman... google it)" "After you... (being very proper, bend slightly at the waist and gesture for them to move forward)"