That's your choice, but I hardly make a big deal out of it. If they follow me then cool; I won't message them or ask them why, unless they initiate contact via messaging me first or is asking me about something. I am however, curious on why people follow me sometimes since I don't often initiate a follow, but I guess I don't really care why they follow me, so I never ask.
That is up to you whether you do or not but you are not really obliged to message someone just because they follow you, if they message you it is probably polite to answer them once they are polite as well.
I don't have any followers (Thank Christ) and I wouldn't message them. I am not interested in messaging people here. I don't want private conversations, I am not here to make fwends, I am here to waste my time.