Trust me when I tell you this - hiring is an impersonal process, and part of 'making the sale' includes emotional tactics if the opportunity presents itself, and the other side is so inclined.
Hiring is also self serving and strictly business; contrary to any sentiment expressed during an interview. An employer sees a way to profit from what you provide, plain and simple, and thats why they are hiring you.
If you are going to succeed it is best to learn early on you alone maintain your long term priorities in the hiring process and as an employee; no one else will do that for you with the exception of maybe a highly trusted friend.
If it helps try to think about it this way; if a new applicant showed up today with the same skills as you have and was willing to work for less, they would have no hesitation in telling you that you were not a good 'fit' (industry lingo for we don't want you and we aren't telling you why). You have to keep the same mindset; if an employer comes along with a better offer, you would be shooting yourself in the foot if you didn't take it.
It's not all rainbows and unicorns, but on the other hand it's also not all cutthroat and competition. It's about finding a position that benefits both parties in meeting their goals.
TL;DR don't feel bad about telling them no.