These are the most dreaded words, always prefacing a note indicating that a paper or proposal has been rejected. Sometimes the note cushions the fall a little by adding something like "unfortunately a lot of good submissions could not be accepted due to lack of room."
The sting of seeing a paper/proposal rejected has diminished a little for me over time, but has by no means disappeared completely. I do find it's more demoralizing for students, though, particularly when writing their first papers.
I guess all we can do is take the criticism in stride, try to learn from it and improve.
On the whole I find it's generally worth attempting at least one revised re-submission, before moving on.
But occasionally you get a rejection where your gut tells you that the reviewers are mistaken. This is particularly likely to happen when attempting some new direction that is not incremental improvement of someone else's work. In this case, it's worth trying harder to get it published. Failing all, have it put up and cited as a tech report.
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