I think that person was really saying "no, sorry; I'm a total self-centered a-hole!"
When doing a beginner session, I cover the basic asking to dance bit and then say something to the effect of
"You're free to decline for any reason - just say "no thank you" and move on. You don't owe any explanation and trying to give one will just delay that person in finding another partner."
To clarify, however, being rude is still totally unacceptable! My mom was turned down for a dance recently with the line, "no, sorry; I'm *very* particular with who I dance with!" Nope! Don't be that guy!