The answer is that you're not entitled to a role, just like a company is not entitled to have you. There's no stigma in saying "You're not exactly what we're looking for right now", even if it's the case that you might be _really great_ somewhere else or even ideal for that exact role in future.
I don't understand people who take a "no thank you" personally, some of the comments are along the lines of: "Ha! sure showed them!" but really it's just like dating, sometimes you get passed up for no other reason than you weren't the person the other was looking for at the right time. Understand rejection, don't treat it like an enemy.