Data would be curious about Odo and ask him a few questions about what it's like to be a Changeling. Then Odo would shapeshift himself to look like Data, and in Data's voice say something like "I can look like anything I want, but that doesn't change who I am. It's a conundrum I face every day I exist, but at least I know my purpose. Do you know yours?" Data would be left even more puzzled than before he came, and Odo would have the satisfaction of having done it.
Odo very rarely shapeshifted just to prove a point. It stemmed from Dukat and all the other Cardassians gawking at him over the infamous Cardassian Neck Trick.
Also, Odo wouldn't be able to mimic Data's appearance. The whole point is that because he lacks skill at shapeshifting he can't really turn into other people. His appearance is suppose to be the closest he can get to humanoid form, although admittedly that fact is muddled once the other Founders show up and they always go around looking similar to Odo. Note that throughout DS9 the only character he impersonates is the Female Changeling.