Dally wasn't the most vulnerable guy, like at all. He learned early on that being vulnerable in life, only got you hurt. So he put up a shield to make sure he never got hurt again.

Oh Dally. Oh Dal..

Romantic relationships were never easy for him due to his high barrier around his feelings, and heart. Most the time the person he was romantically seeing would feel unloved by him, get frustrated that he didn't trust them fully, and then leave Dally. He hated it. Other times, he'd finally get vulnerable, and comfortable around the person but, they would reciprocate it or acknowledge it. That made him leave instantly.

He wouldn't be hurt. Not again.