I almost always feel like this when I'm with people, including friends. I guess you could say I'm naturally... uptight. I've never been able to just "let loose," have a good, free laugh, and just have a good time. I'm more comfortable in laid back situations rather than "crazy" ones.
Then again, it also depends on what you mean by "fun." Fun to me is playing video games, or choosing a night of movies or reading rather than going out to party. I know how to have fun, but only in my own ways. I can't normally conform to others' definitions of fun if it involves partying, outgoing and loud situations, etc.