Because a woman pursuing you for friendship or validation is much different than a woman pursuing you for sexual reasons.
One of the results of our current western culture is a misguided view that women don't need a man. This is about as crazy as saying a man doesn't need a woman.
So we're taught as men, that our validation and support (both physical and emotional) and attention and protection and all the other things we provide are worthless.
That's not true, they are very valuable. We are the gatekeepers of commitment.
But she's not evil for letting you orbit, not evil for turning you down. Hell, if you were a girl, and you could get all the benifits of a relationship without having to give anything back, wouldn't you do it too?
Here's the most important part: Rejection, in certain cases, can be a shit test applied by the woman. If she turns you down, she's waiting to see if you bail, because a high value man isn't going to stick around and keep hooking her up, so to speak.
I had a situation once, where a girl I was seeing gave me every indication that she liked me. After a legitimate date, I went in to kiss her, and she flat turned me down.
What to do? I said:
"Look, we both know I like you. Because of that, I have no interest in being your friend. I'm not screwing around here, and I'm not playing games. I'm gonna go in for that kiss again, and if you turn away again, I'm going home, and not coming back."
Yeah, that's a bit plugged in, you might think. But I was quite a bit younger (13 years ago) and not at my best.
She took the kiss. We dated for longer than a year.
So to close it up:
TLDR: If you keep hanging a round a girl that you already made a move on and got shut down, all you're showing her is that you are weak, and that you don't have other options. Have more respect for yourself. You are worth a lot. Don't give it away for nothing in return, that's bullshit.