Do you come clean with friends/family etc and say that you were dumped? Or do you lie and say that you were the dumper?

I ask because a male friend has just been dumped by a girl, but told me that he was the one that ended it. Had my suspicions, as he said that when his previous relationship ended, only to find out that the girl had in fact ended it. Asked around and turns out he was telling porkys again.

Is it a male pride thing? Is it really THAT bad to admit to people that you've been dumped?