It sounds like you're in your early-mid teens.
Your friends probably (like all teenagers) have self-esteem issues. They don't want to play a "nerdy" game, because if word got out, that might take their social standing down a peg. It is an immature reaction, but something most people in the world do every day - though mostly subconsciously.
The hard answer is: make some new friends. Find a wargaming club that is close to you or head into your local hobby store on games day/night. You don't have to be tight with these people, but you can know their names and enjoy a chat and a game.
The other answer: It might be a long shot, but if they play PC games, introduce them to Dawn of War (specifically Dark Crusade). The units, settings and gameplay are all great and a fantastic intoduction into the WH40k world. Teenage males are more inclined to enjoy 40k, since it is dark, gruesome and has friggin space marines/ships. On top of this, go rent Starship Troopers, Aliens - movies like that. Get them around, get them interested in crazy sci-fi battles against aliens and then crack out a simple squad-level game of 40k.
Once you have them playing, let them win. Have heaps of fun (talk about a funny movie/dickheads at school, etc) and tell them about all the other cool stuff ("You know, there are these things called Dreadnoughts. They're like 10 foot tall, have massive power-fists that can rip apart tanks and a huge gun that rips apart squads in seconds!").
The next step, once you have them interested, is to take them to Games Workshop. These people can hard-sell just about anything.
Good luck!