Getting hit on by women..what do you do?

do you straight up tell them you're gay or just go with it?

I [surprisingly] get approached by women at the gym I work at on a weekly basis. I normally just flirt back and think nothing of it until they ask for my number... Then I usually tell them I'm gay or that I'm not currently looking for anything serious. I'd like to think I'm just being nice but, secretly, I enjoy knowing I could have a woman if I wanted. Does that make me an ass?