I remember my ex's mum bursting into tears when her daughter in law invited her to her baby shower. Unbeknownst to the daughter in law and I at the time, she'd had two third trimester losses during the birth of per first two sons (a very rare, recurrent issue that was difficult to detect back then, and was resolved in her third pregnancy).
I remember her choking through her tears that she didn't want to ruin things, but didn't know how she could go. Daughter in law said she was going ahead regardless and wanted both the grannies there, so ex MIL grinned and bore it, though you can see in the photos how uncomfortable she was. I could completely understand why she was upset and didn't think she should have gone, but I was content to go along regardless because it seemed like a nice thing to do and, I thought, who am I to be doom and gloom about such a happy event?
I was helping plan my own baby shower when I lost my baby in the second trimester. I found myself in my ex MIL's shoes, suddenly understanding why something a trivial as a baby shower could be so triggering. Sadly, I have two friends who also both had a second and third trimester loss (all of us had rare issues throughout). I will never, ever attend another baby shower again. I get it now.
It's a long way of saying that you don't even really need to provide a reason to not want one because it could be a traumatic reason and they should be respecting your decision without question. But reminding them of that might be a good idea. They don't seem like very good friends, to be honest, if they can't respect your decision.