Consider "Thank you for coming" and "Thank you for your coming".
Would the latter one be grammatical? Why? Is it possible to recognize latter "coming" as noun? Some say you need no pronoun because it is mentioned before.
The first example is correct, as you are obviously aware.
The second has slightly seedy connotations - the coming belonging to you. In this day and age, with 'come' having some interesting meanings, I don't think it would be entirely appropriate to use this phrase.
Your first example is a participle, similar to I am grateful that you came, which is perfectly normal. The second would be a gerund, similar to I am grateful for your arrival, and sounds just as strange as that sentence, perhaps because your arrival is less your responsibility than the decision to make the trip; the arrival will depend on other factors. The second, as Barrie pointed out, also has unfortunate connotations.
"Thank you for coming" can be used when greeting or saying goodbye to someone at an event that they were invited to.
"Thank you for your coming" is wrong because the possessive "your" always needs a noun following it (your bag, your phone, your courage, etc...). In this case, you have a verb in the present progressive tense, and it's therefore grammatically incorrect.
Sorry to say that second one is completely natural for native speakers. Please review some grammar of the English language: http://www.getitwriteonline.com/archive/022205posscasegerunds.htm