I would work with him on not feeling embarrassed - because why should he be? My son is the same way. His 2 year younger sister loves fast rides and scary slides - he is 10 and doesn't. And he will confidently tell his friends that he doesn't want to go.
There is no need to experience scary rides - it is an optional experience. What would concern me is the fact that he seems to feel bad about not wanting to go.
My son has always been more sensitive than other kids ... scary books or movies - no way! We can't watch Disney classic movies because ... they are scary to him ... His reading level is high but Harry Potter too scary. Yes ... it might be a little weird to explain to people why my child reads either scientific articles about Biology or ... 2nd grade books that are not scary ;-). But these quirks are common among gifted kids. I have found that my son develops at his own rate and eventually grows out of fears. He was terrified of the dark until age 9 when he suddenly decided that he had to sleep in the pitch black. He didn't learn to ride his bike until age 7 but then just got on ... Give it time! And maybe try to bolster his self confidence - not everyone likes thrill rides ... made adults are scared of them - every person has their own strengths! Maybe he'll like thrill rises in the future but for now - why make it an issue? My son is much fast in math than his sister so I am actually quite relieved that occasionally little sister gets to be " ahead" and brave ... even if it is just for a roller coaster ride :-) I found that taking the pressure off works best. I point out to my kids every day that ALL people have their unique strengths - they change throughout life even ... At Disneyland we take turns with rides - my husband gets sick on anything rocking back and forth - why feel bad about it?