How can I say this without making them fell bad?

When someone offers you a drink, say "No thank you." If they ask you why not, say nothing. Just stare. It will make them very uncomfortable, as it should. You don't owe anyone any explanations for how you live your life. People who ask rude questions should feel bad so they will learn not to do that in the future. And asking someone why they don't drink is rude. Your other options are to find new friends or change your appearance. I would prefer that you draw firm boundaries around yourself and refuse to answer intrusive, inappropriate questions. People who are close to you and care about you already know the answer. People who have to ask have no business knowing.