I think some guys just fear rejection too much especially from women as it does hurt but it's part of life so you have to get use to it.
I guess it differs for each guy, but it will only hurt if you let it hurt you. I'd say it's mostly the ego that takes a hit, not your heart

If a guy is left heartbroken after a rejection, then I'd say he doesn't value himself highly enough.
This is the main problem facing guys these days. The mindset, self-worth, and confidence. This may sound like some crazy bullsh!t, but if you start reinforcing positive thoughts on to yourself then it will change the way you look at women. Seriously.
The minute you stop putting women (especially ones you don't even know) on some kind of pedestal, and giving them higher value than what you'd give yourself then you've already failed. The minute you start telling yourself things like "I'm the trophy", or "I'm the gold medal, not her", or "if she rejects me, then she just lost out big-time, meanwhile I'll just move on to the next, and some other hot woman will be lucky to get me". You just need to re-frame the way you picture the situation.
It's like you see a nice and attractive girl but then there are pretty boys around who will beat you to it so you just don't bother. It's not a confidence thing more so a woman's natural instincts telling her no.
The confidence (or lack thereof) is all in your mind bro. As soon as you start thinking she's out of your league because of her looks or yours or whatever, then you've already given her all the power to completely destroy you. Why do that for? I wish you'd known some of my mates who would pick up women with next to no effort, and they were nowhere near "pretty" or even all that tall or gym-built. They just went in with the mentality that they were the major prize, not her. It also helped that they always had some interesting sh!t to talk about and a wicked sense of humour, and that was all they needed. Hook-line-sinker. They were in
Also women (not saying all) are picky with men so sometimes it's hard to compete against pretty boys and rich boys when you have nothing going for ya (guilty at times being like this lol).
I'd say women are picky because yes, they do get a lot of guys flying at them, trying to win them over. But they know they won't be sold on just looks alone. They need something more. If they sense a guy values himself highly, looks after himself, has a plan in life and sticks to it despite all odds, then they'll be on to him. Rich boys do well because a lot of them worked their ass off to get there, and a woman would respect that I'd think, no? As for pretty boys, well hey - if a girl chooses a "pretty boy" over you, then ask yourself what that says about her. Would she seriously be worth your time bro?