Not having a baby shower??

People keep asking me if I'm having a baby shower and I hate having to tell them I'm not.. I don't have much family, and don't really have a relationship with my mom. And my boyfriends family is pretty much all guys who probably wont throw one for us, so we'll be buying all of our babys things ourselves. Did any of you ladies not have a baby shower and feel kind of embarrassed about it?