If they insist, just say you've signed a confidentiality agreement regarding salary with your previous employer.
Just because you're playing a game doesn't mean you have to pretend you're not playing it.
@rmc, that line "out of professional courtesy" is an excuse. The real reason is that you don't want to harm your salary negotiation.
Similarly a hiring manager will tell you that she has to have your salary history and can't possibly go above an arbitrary number because HR and the VP of IT just won't stand for it. Each gambit is equally misdirecting.