First thing that came to mind was Transport Rules, but there is no "reply" option.
Therefore I had to create an mailbox account, make it a member of Distribution Group and configure reply rule on that mailbox.
Also for this to work you have to enable "Send out-of-office message to originator" on the Distribution Group properties.
So here is a step by step:
1. Create new mailbox like firstname.lastname@example.org
2. Make it a member of desired Distribution Group
3. In Exchange Management Console open properties of desired Distribution Group and choose Advanced tab. Turn on "Send out-of-office message to originator".
4. Configure email@example.com exchange account on outlook (because owa won't let you create auto reply rules).
5. In outlook create a rule:
Apply this rule after the message arrives
from people or distribution list (select your distribution group)
have server reply using a specific message (create your message "Save & Close" it)
6. (optional) Create another rule to delete messages delivered to your noreply mailbox, make sure "delete rule" is below "reply rule" or messages will get deleted before reply rule is applied.
You could also Set Automatic Replies in owa for firstname.lastname@example.org mailbox, if you only need auto replies for one Distribution Group. However with the suggested solution above, you can use this mailbox for as many Distribution Groups as you want by creating additional rules specifying different "from people or distribution list" for each Distribution Group and specifying different message to reply with.
Also have in mind that deleted messages will be moved to "Deleted Items" in email@example.com mailbox, so you will have to do some maintenance or setup a Retention Policy.