Spatially resolved electron energy loss spectroscopy experiments have been performed in an electron microscope on several individual boron nitride (BN) single-, double-, and triple-walled nanotubes, whose diameters and number of shells have been carefully measured. In the low-loss region (from 2 to 50 eV) the spectra have been analyzed within the framework of the continuum dielectric theory, leading to the conclusion of a weak influence of out-of-plane contribution to the dielectric response of the tubes. The gap has been measured to be independent of the nanotubes geometry, and close to the in-plane gap value of hexagonal BN (5.8+/-0.2 eV).