But not getting the feedback you need to improve is worse.
Having a sales proposal turned down is painful for two reasons:
1) You've put time, effort, and energy into creating a proposal that's amazing. Getting rejected is like someone calling your baby ugly.
2) You lost out on revenue.
As much as you might want to pick up your ball and go home, take a moment to see if you can learn something that will help you next time. You're playing the long game and this is just a temporary setback.
Say something like: "Thank you for taking the time to consider our proposal, I appreciate the attention you gave it. Out of a desire to be more effective in the next opportunity, can I ask what factors made you go another direction?"
If you're communicating via email, it helps to provide a list of common reasons for rejection, like price, feature / need fit, or company reputation. Priming the pump like this makes it easier for the respondent to not have to think as hard, and provides a jumping off point for them to give you feedback.
This kind of language remains professional and polite, while inviting the kind of feedback you need to iterate on the next opportunity.
Jia Jang, in his excellent book, Rejection Proof, gives this advice: "ask "why?" before goodbye." Sometimes the feedback hurts, but it's a necessary part of growth.
And it goes without saying, but never get combative. How you leave a conversation determines whether you'll get invited back to the next one.