I got the same question from another user under my lemmy.ml crosspost, I guess this is a hot feature. Yes there is a way to do that.
When setting a removal rule for a post or a comment, mods can fill an optional message field. After having removed the content (according to the rule), the bot will reply to the user with whatever has been written in said field.
So say your comment got removed because you said a banned word, the AutoMod would reply to your removed comment with a message saying: “Your post has been removed because […]”, depending on what the mods have configured. To clear any doubt, they can also specify a removal reason for the modlog.