I've done tens of cold approaches , but when I ask for phone number they all say the have a boyfriend.
Why is that? And what should I do?

Here's the thing, most girls in daygame environments have signifcant others. If they were hot enough for you to approach them, chances are others guys thought the same thing. Only they got there first and planted their flags firmly in her pussy.

You also might not be running enough routine before going for the n-close. If you truly impress her and she is intrigued, she'll more than likely give you her number, especially if she has one of those on-again-off-again boyfriends.

Another trick is to build rapport, and find a commonality. Maybe her friend owns an art gallery and you are an artist. Then you suggest that the two of you exchange numbers so you can follow up and get in contact with the gallery owner. Or anything along those lines. The most clever pick up artists I've seen are guys who slide in under the radar and make it seem like they aren't even trying to pick the girl up.

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“Nothing is impossible, the word itself says 'I'm possible'!” ~Audrey Hepburn