I don't want to put my relationship status on Facebook...?

[Thy]

You do exactly as you say:
You tell him that you don't feel comfortable putting your relationship status of Facebook, but not because you are ashamed of him or anything, but because you're a paranoid freak and value your privacy.

He should understand. If he doesn't, propose to delete your Facebook account altogether, so as to signify the extent of how little is it of worth to you. He'll turn the offer down, of course. :-)