Reasons that I'll list her below, based on a conversation I had with a former female friend of mine.

1. Rarely when you reject someone, especially a guy, are they going to be totally okay with it unless he has lots of other girls to bang, and if that were the case, he probably wouldn't have asked you.
2. Being friends with a woman because "It's the right thing to do." is a set-up for being used. She gets the attention, validation, and you doing things for her and you get the lovely bonus of watching her fuck other guys.
3. She really won't be a friend. She'll probably acknowledge you, even help you, from time to time but that's a rarity. With few exceptions, women make terrible friends.
   
4. You still want to bang her and your associations with her will be based on this false hope.
5. If you didn't want to have sex with her, would you really call her a friend?
6. Women rarely go out of their way for guys they aren't attracted to.
7. Every woman, no matter how close she is to you, will eventually monkeybranch. Btw, this doesn't JUST apply to relationships. She will gladly trade in her closest friends, guys or girls, for other friends she will value more. She'll tell you to stick around though. You know, just in case.
8. It's misery. Absolute misery for a guy to pine over a woman he loves. I can't imagine it's so terrible for women who get sex-zoned because truth of the matter is some of them actually enjoy it. They'd rather share a winner than date a loser, in their eyes.
9. They don't like being alone.
10. You are expendable. Staying out of your righteousness is fine and all, but don't expect anything.

Just dropped a longtime female friend for this exact reason. Our friendship had waned on her part after she decided to make new friends. I brought up the possibility of some fun, she turned me down completely, but then got pissed when I walked out, saying that I had used her for the potential to get sex.

I said "Well you aren't giving me friendship or dick? What am I doing here?"

It blows my mind, really.

But such is nature.