I don’t think you’re required to do it, personally, but I agree that it would be rude to not even hear someone out. It could be anything from, “can you hold this for a second” to “do you mind splitting this $8000 timeshare with me?”

If it’s just a completely random person on the street, and their first word is “can you do me a favor” that’s different. Especially if there’s an actual reason for you to feel unsafe- if you’re alone/it’s a shady area type thing.

This probably depends on the area, though. I’m from the southeastern US and from my understanding people engage with each other waaay more in public here than they do in- as a random example- New York.