Say "I don't want to discuss it" or "I don't feel comfortable talking about that" if you want to be polite.  If you don't want them to ask you things in future, I suggest that you say something like "I think it's inappropriate to ask these types of questions".

If you don't want to answer a question, get advice from the politicians, they do it all the time !

If I am asked and I don't  want to answer the question 

I answer by asking another question.  This is my way of   avoiding answering the question  and at the same time avoid embarrassing  moments. This has worked for me all the time. It has been done to me too and 

I know when to back off and drop the question.

I would say, "I am not comfortable talking about it"