Having gone through this motion several times as the person hiring, you never know how someone might react. You can at times go overboard in trying to not hurt their feelings which may be the case.

I would approach it as thanking them for the opportunity and explain that you knew it was a long shot but wanted to go through the process to see what it is like and gain feedback of where you need to be so the next opportunity that comes around you can check off more boxes. Then I would say that if there is a next time that you can handle it if it is a no and that there isn't a reason to treat you differently. It will show you can handle adult conversations and situation which will make you more appealing to the upper management.