It depends on your mental fortitude and psychological perseverance.
When I was in my early 20s and both more insecure and less articulate AND less experienced, I would say it just to get it off my chest. Which was a healthy and alleviating thing. Unfortunately this is also the story of how I became an alcoholic in that I foolishly made a drinking game out of rejection. Which is also how I developed an appreciation for whiskey over vodka. Whiskey for no's, vodka for yeses.
That part I probably could've done without, but I mean, nobody in their early 20s really knows wtf they're doing, they just think they do, myself included. That's normal, that's what your early 20s are supposed to be like.
Gradually as I got older and more experienced, more articulate, less insecure, and more used to rejection, I began to be able to internalize it better, so that now it's no longer an issue for me.
So I would argue that unless you're particularly skilled in internal management, it's probably better just to say it and get it off your chest. The best case is you end up with who you want, and the worst case is that you lose a friend, to which: You can't really lose what you never actually had, can you? Sometimes in life, you've gotta take a step back and try to break your own 4th wall.
Strategically, before doing either it's best to prepare for the potentiality for both potential outcomes. Just, don't do so by making it a drinking game. Actually, probably don't prepare for rejection with anything self-destructive, that'll do you no good. Instead, try to prepare for rejection with a positive counterweight of some kind. At least that way if you get rejected than it softens the blow to a level of indifference.