Inter-band politics are sometimes a touchy thing. It may be that the lead singer, or lead instrumentalist hates the song, or they've forgotten the words or the lead riffs, etc. They may also be pissed off at one or another of their band mates, and not want to do a tune just to spite them. No need to be rude to a polite request, though.

On the other hand, while our group tries to do any reasonable request, we hate to be Living Juke Boxes, just there to play what some control freak/egomaniac thinks will make them look cool in the eyes of their girlfriend/boyfriend or the audience! If we get too many requests for Elvis, or John Denver, or the Kingston Trio, we'll jokingly attribute the next few songs on the set list to them.