Creating pages not in menus

I’m using WordPress 3.4.2 with the default Twenty Eleven theme (version 1.4), and I’d like to know how to create pages that are publicly accessible by their URLs (through links in pages and posts), but are not accessible from the main menu bar.

Why do I want to do this? Because my plan is to create a large number of small pages (hundreds at least, possibly thousands), indexed via links from a single page, and I’m afraid that having them included in menus will break the menu system, or at least baffle users who try to use my blog’s menus.

So far, if I create a page without a parent, it is included directly (and automatically) in the main menu bar; if I create a page with a parent, it is included in the menu system under its parent page. What can I do to defeat this behavior and avoid having a page included at all?

If the only available solution is to install a new theme, I’m willing to try that, but I would strongly prefer a solution that works within the Twenty Eleven default theme, if at all possible.