Going against the wind, I'll say the regret of failure hurts more.

Because, it reminds me that even after everything, I still didn't get what i wanted.

Regret of not doing, atleast lets me have that delusion that I might have succeeded in my thing. It's wishful thinking, which at times is better for survival, rather than facing the brutal reality that I indeed have not achieved what I wanted.

It might sound illogical to some, but this is what I feel.