Well, the concept of a DL is that it expands to multiple different recipients, so see it not really as a destination as such, rather as a pointer to one or more destinations for the email.
Therefore if you really wanted some sort of autoreply to go back to the sender of email to a DL (which is rather an odd request) you could simply add the OOF or autoreply to one (any) of the mailboxes in the DL.
Because you ask this question, I wonder if the problem you have solved with this DL might be better solved using a group mailbox?