It's not my job to politely decline conversation with someone who has interrupted me when I clearly did not want to be interrupted.
There's a time and place for striking up conversation with strangers, at a bar/club, in training courses at work, a long haul flight on a plane, the table next to you at dinner.... I could go on all day.
But someone with headphones in, and with their head in a phone/book.... Yeah that's just a douchey move. Half the time my headphones are only in for show, I do it specifically to discourage randoms from talking to me.