Is there a polite way to ask someone to not call you by your nickname(s)?

I don’t like when people (that I don’t know that well) call me by my nickname(s).
Is there a nice way to ask them not to?

Obviously I am okay with my family and old friends calling me by my nickname(s). Is just seems a little rude to point out that they do not fall under either category.

It’s always annoyed me. But I’ve always let it slide because I’ve never found a nice way of explaining to people why I don’t like it.

Suggestions?
(Besides just getting over my weird hang-ups.)