The problem, for me, wasn't that the story was "small". The series did well with "small" stories all the time. This film even mentioned a few of the better ones in passing, most notably the first season's "Beyond the Sea" and the later "Clyde Bruckman's Final Repose". If they'd made a movie out of either of those stories, I'd have had no complaints (except, you know, they'd already been done on the TV show, but this is ALL hypothetical, so let's go with it).
But the story used in this movie was dreadfully dull, which started out boring and only got worse until it just... ended. I know a lot of people were happy just to see Mulder and Scully back, but as someone who was never a fan of their characterization in the later seasons (specifically, as a couple, which never, ever worked for me) that simply wasn't enough.
The location shooting was cool, especially after the final four seasons of the show in LA. The rest of the movie sucked in a big way, and is one of the biggest letdowns in recent memory. And I went into it with extremely low expectations too. Meh.
As for a possible third X-Files feature, another "mythology" entry doesn't really interest me. From the sixth season on, the standalone episodes were consistently better than the increasingly convoluted and nonsensical arc episodes (which is not to say that they were wonderful. With exceptions, usually those written by Vince Gilligan, they were most certainly not). If the much-anticipated return of the X-Files failed so completely as a standalone story, arguably its greatest area of strength, I have absolutely no faith that the mythology arc could be at all rehabilitated into something worth watching.