How to react after rejecting friends with benefits request?

I recently started to like a guy friend, we weren't so much close. We were talking for months and I felt that he liked me too. Suddenly he flirted very directly and in a sexy way. Finally, he said that he likes to have sex with me, but is afraid that it would ruin our friendship. I felt disappointed, but said no politely. Now he communicates like before and I think he wants to be a friend, but I don't know how to react because I like him and I'm a little upset at the same time.

How to react after rejecting friends with benefits request?
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