Fiction Imitates Life Imitates Idiots

Just received a fresh rejection letter today. (Pretty standard, as most writers will tell you.) This one had a handwritten note:

"Well written but it's an anecdote, not a story"

What exactly does that mean? Since when are anecdotes and stories mutually exclusive? Not to say that my piece was an anecdote (I made the whole thing up, although it does have a Middlesex kind of down-home voice), but even if it is written that way, is that bad? Don't those stories draw on our storytelling traditions to create a captivating, enchanting voice if done well (which they seem to think occurred)?

Next time I submit to those guys I'll send my thirty-five page story about a divorced woman driving around Connecticut with her estranged and spoiled daughter. Probably more their cup of tea.