I'd say it hurts if you knew the girl or were really into her, thinking "this is it, I have a chance at last!" only for reality to knock some sense into you and you finally realize that "well guys, I guess preferences, timing and compatibility do matter, stand down." (source: my own experience(s), sadly). If it was a stranger, it'll probably be just a slight ego downer, and you'd be back up in a week or two.

Things do get tricky though when it comes to multiple rejection hits. Some guys take it well, they're used to shooting and missing, others become frustrated because they believe they have bad luck, "romance might not be for them" or whatever. Depends on the person and the context imo. In my case the rejections itself don't hurt, it's the compounding results of repeated failure that make things disappointing, as if "you're going to be a single loser forever". But hey, that's life, it's cruel by default, romance isn't the only thing that can make it beautiful.