I used to "entertain clients" and the last time I checked drinking was not mandatory. In fact, I probably did more harm than good during those after-hours meetings. Even if my clients enjoyed the evening, the real meat-and-potatoes of the deals were closed during business hours. You think someone was going to sign my $35,000 proposal because we enjoyed a couple of drinks at the bar? Are you kidding? No. Business went well when the numbers matched up, and all large financial purchases are made sober, by sober employees during business hours. The drinking-and-entertaining situation is a huge excuse that alcoholics use quite often. As if their professional livelihood DEPENDS on them drinking. "If I don't drink, I'll get fired, and there will be no food on the table for little Susie and Timmy! So I HAVE to drink, it's for my JOB!" Bunch of BS.
As for what I say, I just say "I'll have a club soda with lime" when someone asks me for my order. I rarely get questioned. However, I think the real questions are coming from my own head. I feel like I need to have an explanation ready, and often blurt out elaborate answers "I'm not drinking for a few months, trying to lose weight" or "I'm off the drink for a while, I like to take some time away from alcohol" --- these are answers I volunteer, but when I think back I was never even asked. I'm just insecure about it, and need to get better and just stopping at "No thanks". I am sure you can as well!