If they want to thank me themselves, individually, of their own accord, that feels great to hear. But a planned, rehearsed, ritualized "thank you" just doesn't feel genuine to me, and honestly as a coach it would make me uncomfortable.
In general, I'm not big on ritualized gestures of respect. As a coach, I don't want to be thanked because it's expected; I want to be thanked if, when, and because I've earned it from them.
That said, I have in the past when in head coaching positions had everybody line up at the end of practice to do a quick wrapup, brief feedback, that sort of thing, but usually it's just so I can say something along the lines of good job, you worked hard today, I'm proud of you, have a good night, etc.
But if they're going to thank me, I want it to be because they genuinely want to take a moment to thank me, not because they feel they have to.