There are couple of things here. To me it'd be important whether it was a compassion for a sensitive boy or a fear of bruising someone's ego? The other is why can't we just say "No"?

Call me weird, but to me the overuse of "I have a boyfriend" line has a sinister underpinning. It sounds to me like we do not think our "No" is good enough. It is as if the only VALID way we can refuse a male is by disclosing that we are already claimed by another male. Your "No" IS good enough. And insisting on that is standing in your power. You do not need to justify yourself. You do not need to humiliate the other, do not need to make excuses.

Really, what's the worst that may happen if you just say "No"? That he may keep on pressing? Well, then you'll know something valuable about him. He will not respect your wishes and opinions. So your instinct was right, and you don't have to feel bad about his bruised ego. What if he lashes back at you, calls you names and spreads lies about you in retaliation? If that's the fear, I would say use whatever lie you need to protect yourself and stay off the radar of people like that.

But if the sole concern is not hurting a nice boy's feelings, then saying "I have a boyfriend" is not the extent of it. He may hear "I have a boyfriend, who's tons better than YOU!". How you say matters more than the words you use. You can easily tell him you are flattered, but you are not into dating now, but be careful if he sees you next week draped on some hunk's arm he WILL hurt, because you lied to him, and you really meant that he is not good enough for you. If you do think he is "not good enough for you", that is very judgmental, and hurtful to him. But ask youself "is it true?" Or is what is true simply that you you have certain beliefs and judgments about him? If you like you can sit and imagine a different scenario where you tell this boy truth, but in a respectful way. You don't diss him, you don't belittle him, you don't punish him for daring to speak to you,but you look him in the eye, smile, be gentle AND tell him that you do not think you two would click. I think if you treat a boy with respect he may be disappointed, but will not be hurt.

But don't berate yourself for telling this boy what you've told him. Everything you do is ok, in a sense, for the moment. In a split-second you juggle various social norms, religious commandments, past experiences, common sense, fears, possible opinion of others, your own limits, and do ... something. However, next time you may chose something different. That does not meant you need to feel bad for doing "wrong" previously. The self-flagellation is not the point. The point is to get better. You wouldn't be asking if you didn't care about that, I think.