The best thing is to show her concretely instead of explaining it in the abstract. Not just "we don't have money," but maybe fill up a piggy bank together and tell her: "We're saving up together for a trip to the cinema now." Then she'll see the money growing, and it becomes a shared mission instead of a rejection. With my own kids, that made them suddenly proud of their savings instead of feeling left out.
At the same time, it helps incredibly to offer alternatives that have the same "wow factor" - not as a stay-at-home replacement, but actual events. For us it was things like a picnic with a special surprise, or we watched a movie together with her friends at home with homemade popcorn and a blanket cinema. Some kids need that feeling of "something special," not necessarily the cinema itself. And really important: don't develop a bad conscience about it yourself. She doesn't need to understand that your family is poor - she just needs to understand that you handle money wisely together.