I usually explain why I can't make it in, as I feel that is a good-faith effort to let them know I'm not just blowing them off, but you're not required to. Not too much detail, usually, as people don't usually want too much detail (Last time was "My husband is in the hospital so I won't make my shift tomorrow" without getting into what he was hospitalized for). They aren't doing anything illegal by asking, necessarily, though as Fluttervale said, it could be. Not likely, though.