It depends on the situation. If she is someone in your "Friend Zone" or platonic friend you suspect has a crush on you then simply be honest about you valuing her friendship but you don't have any romantic feelings for her.
On the other hand if you have been intimate with her and have given her the "illusion" that you are an "exclusive couple" or if in fact you have been a couple but now you want to move on then you need to breakup with her.
Awhile back I wrote on this subject. Hopefully it will be of some help to you. Best of luck!