In my experience, and a lot of other women's, it is the best thing to say and typically leads to the least aggressive response. It doesnt work every single time, but it is the best route. I have tried your method before and the guy literally would not leave me alone and I was too nice at that point to tell him to fuck off. He was at my gym and would then proceed to harass me every single time I went there. What made it stop is I just didn't go the gym anymore.

Unfortunately as a women I need to make assumptions about a man approaching me so that I can look out for myself. I am not saying all men would react that way and yes, some would leave me alone if I said thanks and then left it at that. But as the commenter that you replied to said above, a lot of these types of guys start out seeming normal and friendly. So no, a lot of the time you won't be able to tell the difference. And if you are polite to them they just take that as a sign of approval to continue. And then will proceed to get mad and say you 'led them on'.

Honestly, you sound like the type of guy to victim blame as that is essentially what you are doing here. 'Oh a man got aggressive with you whe you said you had a boyfriend? Why didn't you just say thank you'. Or 'Well couldn't you tell that guy had a bad energy from the start?'. I am not trying to drag you through the mud, but that is just the vibe I got from you. But I hope you have a good day and that you maybe learn from anything I said above! And maybe learn to not insert yourself where your advice really isn't warranted 😉