When I got the politely-written rejection ("...not quite what we are looking for at this time." The literary equivalent of "It's not you, it's me), I was, of course, a bit let down . But when I told my writing group about it, they cheered. Why? First of all, because I got a response. Many magazines will only respond if they are interested in your story. Otherwise, you're just left wondering if they got it, if they've read it, if they've rejected it, or it's been sitting on the desk of someone who's been meaning to get back to you, but just hasn't found the time. If a "respond within" time frame is given ("We will respond in x number of weeks/months/years if we're interested") and that time lapses without you hearing from anyone, then it's safe to move on and try placing your story elsewhere. Other magazines, like the one I submitted to, promise to respond either way. In those cases, if you haven't received a response in the time given, let a week or so pass beyond that, and then send a gentle reminder and ask for an update. One good tip I recently came across from another writer, is to include a note saying that if you have not heard back by such and such a date, you will assume that the magazine is not interested in your story, and you will submit it to others. That takes the guesswork out of it for everyone involved.
The other reason my group cheered my rejection is because rejection is a part of the process. First of all, it means that I'm writing, which, of course, is the most important step on the path to publication. And getting rejected - often - is something every writer has to be prepared for. In it's own way, each rejection received is a badge of honor, a signal that you are "doing it right," because - and I really can't stress this enough - everyone is going to experience rejection, and getting through those is the only way you're going to ever reach the one that says "yes" to your story. Determined writers know this and use it to make themselves better. If you're not willing to take that hit, then please do yourself a favor and take up knitting.