I actually tried clicking no once on my musketeer. What happens is that he'll still have the question mark above his head, kind of like denying a side quest. This in a nutshell means that you can't progress through the game unless you pay him that one gold coin since he holds information that you need to progress to the next part of port regal.
You have to pay him the gold if you wish to progress in the main storyline. If you say no, the question mark remains above his head until you pay him. But, come on, one piece of gold isn't much at all.