Most women are smaller than the men that hit on them, and are constantly told they need to be vigilant against assault (this is a consequence of victim-blaming, which is wrongheaded, but nonetheless psychologically influencial). A woman saying "I'm not interested" is directly rejecting the man hitting on them, and only for her own reasons. I know people who have been slapped because they rejected someone openly. In a situation that wasn't a crowded environment (for example, if a woman is being harassed on a street) things could easily go worse.
On the other hand, if the woman says "Sorry, I have a boyfriend," the implication is that she would sleep with him, he's so attractive, but sorry, another man already owns her. Men respect men far more than they respect women. I am not a physically intimidating man, but I can defuse situations between aggressive men in clubs hitting on my women friends quite easily by claiming to be their boyfriend.
This has nothing to do with politeness and, like many interactions between women and men, everything to do with survival.