It's fine, though. TFA goes into ways to improve the hiring process such that this sort of thing doesn't happen. But I don't mind it at all. I want to fail fast; if the company decides I'm not the right candidate, great, I'm glad it happened before we wasted time with more extensive interviews.
There are two possibilities. If they're right and I'm not a good fit, I don't want that job because I won't be successful there. If they're wrong, I don't want that job because the company isn't being successful at hiring me. The hiring process is looking for the wrong attributes, or the interviewer isn't properly trained, or... well, something, somewhere has gone wrong. There are no false negatives.
A company that's firing on all cylinders does a lot of hiring, and is good at it. They source solid candidates, and interview them thoroughly but quickly. If they're not hiring effectively, well, they're probably dysfunctional in other areas too.