I've gotten the question before... I've lied and said "no" and then gotten the response "good" and she then proceeded to get naughtier.
I've also said "yes" before too, and that usually ends up with the follow-up question "do you have kids?" If I answer that one truthfully, I then get sucked into having a conversation about her kids and her failed marriage or shithead boyfriends... and that's a conversation I really don't want to have in a SC.
In general, dancers usually don't care and respond with something like "oh you're a bad boy... I LIKE bad boys!" In which case, it really doesn't matter what you answer, because she doesn't really care and is just making conversation. However, I have gotten a few disappointed looks, and had impending freebie extras get derailed.
I've also had one girl (former ATF) get really hurt and disappointed before. I had told her I was single, we had done a lot of extras during lappers, and had some good long conversations over a span of a few weeks. She had dropped hints of seeing me outside the club before, but I never bit. She finally got the nerve to hand me her number, her real name, and flat-out asked me out to dinner and a movie. When I declined and told her I was actually in a long-term relationship, she got REAL upset and took back her name/number from my hand, and didn't speak with me for a couple weeks. But then her rent was due, and she was all for the extras again. Though she never failed to ask me if I was still dating "that girl." ...if only I had met her before I met my wife, man I could have had a lot of fun.