I mean, if I'm romantically interested in someone and they say that they're not romantically interested in me, that sucks.

Emotions are not rational. I can cognitively know "I am not entitled to this person's romantic interest and having them in my life as a friend is just as valuable as being in a romantic relationship with them" but my emotions will still feel disappointed and saddened because my romantic feelings aren't being reciprocated. Confessing your feelings to someone is also a huge moment of emotional vulnerability, and being rejected in that situation can make one feel powerless and inadequate.

Are you gonna tell me that if you confess your feelings to someone and they give you the whole "Let's just be friends" response, your reaction is "Oh yay, I made a friend"?