I guess the key point here is that by desensitizing yourself to rejection, you prevent a single rejecting from impeding your progress. ("Making a mountain out of a molehill")

Of course it's important to learn why rejection or failure was encountered; some aspects are outside of our control, but those that are, we can work to change.

Where it becomes a problem is when the rejection/failure is generalized into a systematic problem that demotivates you from continuing on.