It depends. It really does.
D&D is a game. A game should be challenging, and rewarding. This, for many people, is "fun". (This does not, in any way, preclude the existence of other kinds of "fun", such as playing games where everyone wins, or where even if you win, you lose).
If I buy a game on Steam, and it's not fun to play, I don't play it. I'll complain a lot about this, but it's really my own fault. Attempting to play it anyways and becoming more upset is also my fault.
One can argue that if you're playing D&D and your character is knocked unconscious, you're not even playing the game! You've been put into "time out" for some unspecified time.
There are, however, some concerns to be addressed. Since it can be assumed there's some sort of vague social contract with regards to a given play group, consider the following:
*If everyone in the group are your friends, then maybe, for them, playing D&D is more than about playing the game itself, but also a great chance to hang out, socialize, and share in a group activity you all enjoy.
*It's quite probable that some effort or sacrifice is involved in making sure everyone can be there for the session. Skipping out on the game can be very similar to bailing on a party, or leaving the bar early.
*The DM is definitely making a sacrifice of their time and energy to have the game available to be played -at all-. If you take your ball and go home, how do you suppose he'll feel about it?
Now, taking these considerations...into (ahem) consideration, if D&D is a social gathering, and these people are your friends, then it should be everyone's responsibility to make sure everyone is having fun. If someone isn't having fun, that's a problem. I don't know about you, but the social events I attend don't have a "penalty box" that you can be stuffed into so that you aren't allowed to fully enjoy yourself. D&D shouldn't be any different.
So the bottom line here is, everyone needs to take everyone's feelings into account.
But really, this isn't the real debate I think should be happening. We shouldn't be discussing if it's rude to leave a game if you're no longer engaged. We should be discussing how to keep people engaged in a game that has many built-in ways to remove you from the fun- being brought below 0 hit points, turned to stone, or banished to another plane of existence. These consequences are part of the game- one can argue that if you aren't willing to accept these consequences then you should find a game more suited to you, but I don't think that's a constructive viewpoint.
We should be looking to improve the experience of this game we love as much as possible. Is there a way to preserve the integrity of the game and address this issue is what I think we should be talking about.
Exhibit A: 
