I've got rejected a couple of times with good, useful feedback, and a couple of times with "We can't afford to hire anyone else for a while". In both cases, I end up happy for the feedback, not pissed I didn't get the position. I want to work for the company more than I did before. I follow the companies with interest, and feel a vague sense of attachment to them. If I saw the people who rejected me at some kind of conference, I would go up and say hi. I would recommend them to my friends.

So - please do this. Unless you don't care about my opinion of you. You may not.