Why do women do this (trying to console you)?

That just means she cares about you.And you saying "don't want to talk about it" makes her think you don't like her the same way and she could get insecure about this,or just angry.Man up and take 5 min to open up to her dude,honestly it isn't that bad and it feels a lot better when you do.It can actually help you get closer to her and her to you.