I think that marrying one's best friend is the best possible situation. A husband and wife should be each other's best friend (after God of course) and if they are already best friends beforehand, that sets everything off to a good start. The thing is though, it is possible to have more than one really close friend - some people even have more than one person of the opposite gender who they consider to be a best friend. Obviously they can't marry all of them. Also, friendships change over time. While some people find their best friend at a young age and remain best friends for life, other people have different best friends at different times in their life. Again, they can't marry all of them. So not all best friendships with the opposite gender are destined for marriage - even for those people who intend to and eventually do end up marrying their best friend.
If someone's best friend tells them that he/she doesn't want to risk losing the friendship it means that he/she has either already decided that that relationship is not destined for more than friendship or that he/she just isn't sure yet. If that person does stick to his/her ideal of marrying his/her best friend, then eventually, when he/she feels that the right best friend *and* the right time have come, he/she will agree to take that particular relationship further. Just because someone is one of his/her best friends does not mean that they are that particular best friend who he/she will decide to marry.
A best friendship is indeed a huge thing to risk. Losing a best friend can be just as hard as losing a boyfriend/girlfriend. The phrase 'just friends' is actually somewhat misleading - friendship is an extremely important and valuable relationship. And yes, the decision to date or not to date a best friend will probably change the friendship somewhat - regardless of the decision. And the decision to date someone else will likely also change the friendship. The thing is, most people realize that choosing to date and then ending up breaking up is the choice that has the best chance of most effectively damaging or even destroying the friendship. People have seen too many romantic relationships end with the couple breaking up and one or both refusing to even talk with each other, and even more with the couple intending to go back to being friends but finding it too awkward or difficult.
Saying no to the offer of romance right away will probably make things awkward for a while, but likely not as badly as a failed romance would. Choosing to date and even marry someone else will likely result in a transfer of some time, energy, and attention away from the best friend, but probably not to the degree that a failed romance would. So someone who plans to date and marry their best friend is probably going to be really careful not to pick the wrong best friend to date and will choose to err on the side of caution - keeping a friendship of some kind rather than risking losing it entirely.
If you've been turned down by a best friend, all is not lost. You still have that best friendship. And you have a good chance of keeping a good friendship for life, even if your friend ends up marrying someone else. That friendship is worth something - quite a lot in fact. Don't dismiss it as unimportant just because it doesn't look like it will ever become anything more.