When an inbound email is identified as an Auto-Response email, Email-to-Case in Salesforce does not create a new case or attach the email to an existing case. This article explains why Email-to-Case blocks auto-response emails and what the expected behavior is.
An Auto-Response email is identified by the presence of the X-SFDC-AutoResponse email header in the inbound message. This can occur when emails originate from the same Salesforce org, another Salesforce org, or any external system that sets this header.
Email-to-Case is designed to block any inbound email that is identified as an Auto-Response. When an incoming email contains the X-SFDC-AutoResponse email header, Email-to-Case ignores the message entirely, regardless of whether it originates from the same Salesforce org or an external organization.
Because the inbound email is blocked at the header-detection stage:
This is the intended behavior to prevent Auto-Response loops from generating unnecessary cases in your org.
Additional Link
On-Demand 'Email-to-Case' Does Not Create Cases
000390062

We use three kinds of cookies on our websites: required, functional, and advertising. You can choose whether functional and advertising cookies apply. Click on the different cookie categories to find out more about each category and to change the default settings.
Privacy Statement
Required cookies are necessary for basic website functionality. Some examples include: session cookies needed to transmit the website, authentication cookies, and security cookies.
Functional cookies enhance functions, performance, and services on the website. Some examples include: cookies used to analyze site traffic, cookies used for market research, and cookies used to display advertising that is not directed to a particular individual.
Advertising cookies track activity across websites in order to understand a viewer’s interests, and direct them specific marketing. Some examples include: cookies used for remarketing, or interest-based advertising.