My love and idol Dan Savage talks about this being part of the socialization of women not directly saying no to advances and instead giving "I'm not free that weekend," "I have a boyfriend," or some similar such nonsense. It can be dangerous to directly turn down men and, often, men don't quit after 'no thanks.' I've had numerous times when I say I'm not interested and guys hound me for "why?" "Are you seeing someone?" "Are you gay?" It gets hostile quickly. And commonly.
Who has that saying? Men fear getting laughed at, women fear getting killed.