needing to know why you've just been turned down is a massive low-self-perceived-status signal.

At that point it's kind of too late to matter. The rejectee has already been liberated from the necessity to signal high status to that particular recipient. They are free to do whatever the hell they want and play whatever status they feel like in the moment.

and the sort of conversation that could destroy the friendship

Which is quite possibly a benefit, depending on the circumstances. Although there are less awkward, pointless and painful ways to go about it than 'why?' questions.