Almost all candidates will experience rejection at some point during the process of changing jobs. The key is not to take the rejection personally and to learn what you could do differently to improve your chances next time around.
Keep in mind that you will rarely ever be the only candidate being assessed for a position. Another candidate may have skills and knowledge that more closely match those demanded by the employing organisation. Another candidate may have been considered to fit better. You may have been unsuccessful because the employing organisation's strategy changed and they withdrew the job.
Start by soliciting feedback from your consultant at SHK. Agree with the consultant what you might do differently next time around and then mutually determine what other options might exist. Often, early on in the interview process, you may already have discussed other prospective employers that you would be interested to join. You may solicit the support of your consultant to make confidential approaches to those prospective employers on your behalf.
Importantly, remember that your consultant will now have a good understanding of your career objectives. They have already demonstrated their confidence in you by short-listing your details on one occasion. Leverage this advantage as you continue to pursue your job search.