Right, if in your initial negative answer you make it clear you would like to close the subject -- which there are many ways to do without being rude -- then someone is way out of line to press you on it.
And one's reasons are one's own business to reveal or not. But you're more likely to be asked the follow up if you don't make a full closure in the first responce.
There might be an exception for a very intimate friend (i.e. childhood best friend, college roommate) or close family member (mother, sister) even though these people's curiosity might hurt the most. Depends on the friend/family dynamic.
Actually, I'm with the group that thinks asking Dear Abby about damn near anything is an earmark of a loser -- don't folks learn basic etiquette anymore?
d.o.l.
Criminal Number 18F
Don't know what it was yet, but that sort of thing (happens all too frequently around here) is rude.
{gallows humor...}