Is saying "I don't have a phone number" to someone, when I actually have one but don't wish to give it to him for fear of embarrassing him, considered a lie and unlawful for me to persist in, and does the other party's knowledge that I have a phone number negate my action being a lie and unlawful, with supporting evidence from the Quran and Sunnah?

Lying is forbidden by the Qur'an, the Sunnah (definition), and the consensus of the Ummah. Lying is not permissible for the aforementioned purpose, due to the general nature of the Prophet's (peace be upon him) saying: "It is a great treachery that you speak to your brother a word that he believes you to be truthful in, while you are lying to him."

However, in Tawriya (disingenuous ambiguity), there is an escape from lying. For example, you could say: "I do not have a telephone number," intending that you do not have a landline number if you own a mobile phone. This is your way out of falling into lying. If you have committed any lie, you must repent from it by regretting it and resolving not to return to it.