I think they complain out of some kind of conviction or guilt. Your work makes them feel lazy. Laziness is still felt as a bad thing, therefore when you show them your work (when they see you working), it brings an uneasy feeling of guilt for their active laziness. They tell you they pity you in order to get away from that uneasy feeling. They don't actually pity you.
It's kind of the same reason people holding a cigarette tell you, "Yeah, I need to quit these things." They feel convicted and are concerned that you are looking down on them for their actions, so they have to say something to try to ease the discomfort. If not, they wouldn't care what you thought, or they would actually quit.
I want to be lazy, but I want hard working people to think I'm not lazy.
I want to smoke, but I want that person to not look down on me as a smoker.
It basically doesn't matter that the hard worker or the non-smoker doesn't have any thoughts on the matter at all. It's the perception of the dis-eased person that causes the need to say something like that.
At least that's my experience. That's why I tend to say silly things like that.
There's my psycho analysis for the day......