I deal with this on the opposite end. I lead about 200 people and often have internals apply for jobs that we ultimately do not hire.
Leaving and finding something else is obviously an option but you may also want to talk to someone you know that was involved and figure out why you didnt get it. Do it in a professional way, trying to figure out what I can improve so that I dont miss out on future opportunities type thing.
The way you respond means a lot if you intend to stay in the organization. Even if you dont, depending on the industry and your position, how you respond may follow you.
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