How to I tell my close friends I don’t want to smoke weed with them?

One way to handle peer pressure is to be firm and clear with your answer. Just say “No, thank you” and leave it at that. It is not necessary to give or justify your reasons. If your “friends” continue to pressure you into doing something you are not comfortable with or that may harm you, maybe it’s time to reconsider your friendship.
 
For more information on dealing with peer pressure:
https://www.teensincharge.org/topics/dating-and-relationships/peer-pressure/
http://www.cyh.com/HealthTopics/HealthTopicDetails.aspx?p=243&id=2184&np=295
 
Reference:
http://kidshealth.org/kid/feeling/friend/peer_pressure.html#