"No, the banjo" (or accordion, kazoo, tambourine, didgeridoo, etc.)

"Yes. By law anyone wearing a kilt must play bagpipes. We must also be cheap, eat haggis, and have an unsettling fondness for sheep. Now if you'll excuse me I have to paint my face blue and go moon some Englishmen"

"I used to, but it got all commercial and it stopped being about the music. I couldn't stand the thought of my art being part of some corporate machine, so I burned them and swore never to play again." (the longer and more over the top you make this story, the better)

"No, I just strangle cats."

Or when it's more of a conversation on the topic and not just a random question, I will explain that the bagpipes are one of the hardest instruments to play in the world, and that I an barely handle a kazoo. And since poorly played bagpipes sound like a cat being strangled with a goose, its probably for the best that I not even try.