next time say "I'm sure she's a great girl but no thank you, I'm not interested"
you don't owe them any bigger explanation than that, it's not rude to say no. Incidently, you don't have to "come out" with the rainbow flags and gold hotpants to be honest about who you are - not coming out and being in the closet are two VERY different things. being in the closet sucks and leads to uncomfortable situations like this (I remember them well from my Uni days) but being honest about who you are doesn't mean everyone has to know your business. think about it. 🙂