I regularly take calls from people asking for features that we don't offer (and probably never will). They normally start out annoyed that we don't have what they want, but after I explain why we can't offer the feature, they normally understand completely and it doesn't seem to bother them at all.
Most customers don't have much perspective about your business. They know what they want, and they're not really thinking about how it might effect the overall experience. If you just say, "no, we don't have an iPhone app" they'll think you're brushing them off. Instead say, "I totally understand why you want an iPhone app, but if we made an iPhone app we'd also have to make apps for Android and Blackberry which would mean we couldn't spend nearly as much time focusing on making the core product better, which is why we have a mobile website which will work on all platforms". The customer wasn't thinking about that when they requested/demanded the feature. By explaining your reasoning, you're telling them that you really are listening to them and considering their ideas, but there are good reasons why you can't give them exactly what they want.