I personally have said the "I'm not gay, but..." line, but that's only a preface to when I say something incredibly gay. By which I mean that what comes after the now infamous line could easily be interpreted as stereotypically gay. For instance: "I'm not gay, but I think the Dutch rendition of Joseph And The Amazing Technicolor Dreamcoat has a great cast, especially Joseph himself who has just the face and body for it" or "I'm not gay, but I'd totally have sex with Stephen Fry and pleasure him any way I know how".
To me, the line 'I'm not gay, but...' is not so much about being afraid to come off as gay. I'm all right with people thinking I'm gay. It's just that being perceived as gay does have some very unpleasant effects for me personally: first of all, women will not try and have sex with me. Secondly, men will. If I were to be perceived as gay, I'd miss out on a lot of female attention and I'd have to disappoint a few men as well. Wow, that sounds conceited.
To me it's a disclaimer; no more, no less. Especially since my roommate (who is gay) and I have been spending so much time together lately that I feel like I have to remind him and gay friends that I am, indeed, a heterosexual. Because when you like musicals and gay sex with Stephen Fry those homo's will stop at nothing to try and convert you.