My wife, (head of HR for many Amazon warehouses in the Northeast) says the better strategy is to call and ask why you weren't selected and see if the employer has any areas upon which you could work so that you might be selected for any future positions. This action demonstrates maturity, your desire to be with the company involved, and also serves as an example as to what sort of employee you'd be if selected (one who doesn't let failures rest and one who works to improve).
It's a subtler (read far less annoying) way for someone to say, "Damn, I really wish you chose me, instead."
My wife is the smart, successful, and good looking one in our family, so I'd go with her recommendations.
Be well. Do good work.
Semperfidelis
