How to respond to this statement?

Hi!
I have always been wondering how to respond to a statment given by store clerks of Book Off shops for example when they have looked for something I asked about (a speficic book) and they say there is no such book.

I would respond in English "thank you anyway" or "thank you for looking". But not sure how to do so in Japanese.

I have used "arigato" and "sumimasen" (for taking up the time of the clerk or something like that). Would it be a correct respond?

I would say:
- Sagashite kurete, arigato. (Thank you for searching for it.)
- Shirabete kurete, arigato. (Thank you for looking into the matter.)

Thank you! I will go with that ones from now.

I have used "arigato" and "sumimasen" (for taking up the time of the clerk or something like that). Would it be a correct respond?

Yes, that is a correct and common way to respond, meaning that you are thanking the clerk for the effort.

But just to add to AK, I often say, "wazawaza arigatou gozaimashita" which means "Thank you for the trouble." which can also be used when they did find what I wanted.

As Uco suggested, if the staff spent time for me, I often say "doumo arigatou gozaimashita" or "wazawaza arigatou gozaimashita". In this case, only "arigatou" maybe sound a bit light, I think.