This is one of those examples wherein native speakers of a language play a part in the evolution of little nuanced meanings embedded in sentence structures, colloquialisms, double meanings and so forth. It's really amazing to observe. "I don't do romance" means that the person who is making the statement is wholly uninterested in the expected social norms of dating, wining and dining, developing emotional intimacy or love. "I don't do (whatever)" means I'm not willing to engage in whatever it is. It connotes an unwillingness and not generally an inability. On the other hand, "I'm not romantic" might be said by someone who is interested but not very skilled at being romantic.