Most companies won't hesitate to cut an interview short when they've decided they don't want you, why should you feel that you can't do the same?
Saying “thanks but no, thanks” after the interview without telling the reason if perfectly fine for both a company and an interviewee.
I have been flushed from an interview process halfway through. (Apparently I failed the personality test for Capital One. Fair enough.) They had a car take me back to the airport. I didn't mind. The guy I was riding with (who was also flushed) was really pissed about it, though.
A company really should solicit feedback from the candidate during the process. The candidate can say "I don't think this company is going to be a good fit," and then the company can decide if there's anything more worth talking about. Maybe there is, maybe there isn't.
This happens. The reverse isn't unreasonable either.
Personally I think it's important to sell no-hire candidates on the company, since even no-hires might be hires in the future (for different roles, or if they add skills), or might be referrers of other, better candidates, or might end up working for a vendor or customer, or just might make negative social media postings about you which dissuade other candidates. So doing morning interviews, lunch (which turns into "selling the company's mission to the candidate", ideally by a senior person who isn't overly busy, not a random HR drone), etc. for the no-hires.
What I was trying to say, probably in too few words, is that many places don't do it that way and I have little sympathy for them. =)
(and you're guaranteed to at least get something, as if they don't have any stored information on you then the door is wide open to discrimination suits)