Yes, just tell a white lie. I certainly wouldn't reject it all out of hand, though, you never know when you'll want some company. If you just say 'no' all the time, they'll end up not askingyou at all, and I personally think it's better to be asked, even if you're not going to accept, than just to be ignored.
For me, I've never really had that problem, quite the opposite, in fact: I would have liked to have been asked out places after work, but in 9 years I could count the number of times I went out with them on one hand. Not helped by the fact that I worked mainly with women who tend to go out in bunches anyway.