Here it is....
FWIW, I don't belong to a "church", I belong to Jesus.
And no, I do not belong to a denomination. What of it and why should I?
What possible difference could it make in my salvation?
That’s an evasive statement to the honest question, “of which church do you belong”. There’s always an affiliation. Some folks up front about it, others not so.
Why are you embarrassed?