I've had both good and not so good responses from buddies when this happens.
One of my best buds and I fooled around quite a bit for a while. It was really great and we are still quite close. Both married now but still miss our time together.

Another buddy was totally not interested but told me that he respected my ability to be straight about it and say what I felt. We are still good buddies. As a matter of fact, he's my neighbor.

I believe it's best to get things out in the open. They don't always go the way you want them to but at least you can stop wondering if you did the right thing.