What rejection does is 1) It is a catalyst for self-improvement. 2) Reduces future approach anxiety by reducing expectations. 3) Replaces fake confidence/other directedness with true confidence/inner directedness that is not dependant on other people's opinions of you. The fragile ego becomes a strong ego.

Not being phased by rejection anymore displays a high level of self-confidence. It's just a learning proces, an essential step towards a better and stronger you. Failure is the true teacher as they say. In some cases rejection can even be a test of a woman, they want to see how fragile your ego is, how you handle not getting what you want (jerks are not desirable, bad boys are still boys, only men are), see if you accept her judgement and if you can keep your cool. If your reaction is positive, hey, she might even change her mind.