“Your competitor has feature X and you don't.”
Why they say it. They may genuinely need feature X, or a rep has coached them to use it as a wedge against you. Often it is a checkbox they assume matters without having tested whether it solves their actual problem.
Do not: Do not promise it is on the roadmap to make the objection go away, and do not pretend the feature does not matter.
You are right, we do not have X in the form they do, and I am not going to spin that. What I would want to understand is the job behind X, because in most cases teams adopt X to solve a problem that we actually approach from a different angle. Can you walk me through what you would use feature X to accomplish day to day?
Then ask. If we solved that exact outcome a different way and got you the same result, would the feature itself still matter to you?