It's a good reminder that it's more than great manners to say "thank you" even when you are not selected--it's smart business. Take the opportunity to show you're a quality business-person by exhibiting a classy reaction. Jantsch says:
"Here's the philosophy behind that strategy. At the moment your prospect is telling you sorry - they are never more receptive to a positive marketing reaction from you. Your ability to say thank you to the no is the start of your next pitch to that client. I guarantee you that they will remember how you reacted, particularly if you demonstrated in the moment when you seemingly had nothing to gain that you had their best interest at heart."
Great points and I have a little more advice to add.
If the feedback was good about your presentation and all, then that conversation is also a good time to make the simple request, "We hope you'll consider us next time around." and even a suggestion, "Perhaps when your acquaintances are looking for options, you might mention they consider us, too."
And don't take the prospect off your "people to stay in touch with" list. Don't harass them or anything, but sending them information of relevance and value from time to time will be appreciated. Even introduce someone to that could do business with them or would be a good referral source for them. They won't forget it.
Don't forget referral source thank yous too.
You never want referral sources to think you only appreciate them IF you can close the deal. A verbal or written "thank you" to your referral source should be delivered as soon as you learn of the referral.
And if you're going to do a big thank you gesture, the timing is important.
If that referred party meets with you, right after the meeting, but BEFORE you learn the outcome of the meeting, thank the referral source--as appropriate--by sending the wine, a plant, a gift basket or gift certificate, or other show of appreciation. Then the referrer knows you genuinely appreciate the referral itself, and not just the newly closed deal. Another side benefit is that the referrer may put in an extra good word for you before the final decision gets made...