I am exactly what you described above (except for the hurt part) and I appreciate honesty over a false excuse. Depending on the context, I may view false excuse as disrespectful. It is not about getting hurt (shouldn't happen to regulars. guys are use to taking a no).
for instance , if you are in a dancing club and you see this interesting woman that for some reason no one is dancing or even talking to her. you might assume that other men are just intimated or whatever.
well you go with confidence and ask her to dance and she rejects you with a scene and people are now lol at you. Which is probably a nightmare that most shy guys have lol
well , you smile, move on and try dancing with other women, she watches you dance. She later leaves the club. Some time later you leave too
As you leave the club, for your surprise you noticed she is being waiting for you outside....you probably think you are in trouble.
her: "I was curious how long I had to wait here..."
her: "well, my apologies for earlier but if I had danced with you, then all the other losers think they can ask me to dance too. now let's go and dance somewhere else"
As weird and fake as it sounds. These things do happen.
the other thing that can happen too is when a woman rejects you and makes a scene (she can change her mind later too). Some women take your side and ask you to dance....to help you feel better. Some might even say: "don't worry about that bit$%, we are not all the same"
either way, every man should always overcome his shyness. It's works better.