Very direct about it, and yes, some people completely shut you out once you tell them, but vast majority don’t; while my opinion, those who do aren’t people I am interested in knowing. Very similar prior to me being largely anonymous, people would ask me what I did, I would respond saying I did nothing, which at the time was true and did not feel the need to make something up. Oddly, discovered their response almost immediately told me a lot about who they are as a person; they might think I am: cool, on-the-run, lying, nomad, spy, wealthy, homeless, etc.
As for making personas, long ago I tried that, though now it to me feels like lying, especially in context of establishing long term relationships. That said, with personas I created, other than generic names, I would keep them true to myself, though never complete representations of myself. In doing so discovered that the variety of personas rarely played a factor in people engaging me, but it did appear to make a difference if I just happened to contact them randomly in close proximity to them having free time.
All and all, being anonymous really is not that hard. Not even something at this point I spend lot of time thinking about.