Out of curiosity, why?
It might be (probably is) my asocial personality and the fact that getting interrupted is very triggering for me.*
But while I am amenable to the argument that there is no use in being rude to someone who cold calls, I can't help but pick on your choice of words: "good to be polite to anyone"
Is it morally good to be polite to someone who wants to harm you? Perhaps if they are physically threatening you and politeness is part of your deescalation strategy. But a cold caller? I like to believe that there is a special rung of hell reserved for cold callers (right next to lawyers and people who talk at the theatre).
I don't go out of my way to be mean or nasty to them because there is nothing of value that can come from that.
But they certainly don't deserve a "please" in front of "delete this number click" in my personal opinion.
* - While I'm not a huge fan of smart phones, they do have one killer feature that has won me over: the ability to set the default ring tone to silence and assign people in my contacts a ring tone that will actually get my attention.