Typically, when a candidate is rejected there are good reasons for that decision. But for a small percentage of individuals this is not true. They are rejected because the company believes they are a risk. Recruitment is expensive and time consuming, so it’s okay to have a few false positives (i.e a good candidate being dropped). At the point of receiving the rejection email, the majority of candidates will accept their fate. Some won’t. Candidates that ask for feedback create an opportunity to make a case as to why they should be hired. Such an opportunity might not present itself, but by not continuing the dialogue there’s zero chance of changing the decision. For bigger companies this might not be possible, due to its rigid, multi-layered structure, but for small companies this is an approach I highly recommend - you are likely talking with the hiring manager directly.
I speculate that candidates that rely on a middleman - like a recruiter - are at a disadvantage under this particular situation.