You are entitled to decline a dance at any time for any reason or without explanation.
People decline dances for a lot of reasons: they are tired, they aren’t feeling the song, they need a drink of water, they’re really interested in the conversation they’re having, this is their special song with X and they were on their way to ask X to dance, they just declined the previous dance and promised this one to that person. Don’t take it personally. If you decline a dance, say, “No, thank you.” You don't need to give a reason for declining. If you’d like to dance with that person later, say “Maybe later” or “How about the next song?” or “I’ll find you later.” If you don't wat to dance with that person later, don't tell them you do! If you’ve just declined a dance, it is rude to dance with someone else to that song.