I'm no expert in animal psychology, but I think it's fair to assume that feeling sad after a rejection isn't something unique to the human species. A pack animal might turn to his pack for distraction, a more solitary creature might turn to hunting or some kind of play in order to find distraction. Sadness and anger are some of the most basic of emotions, and nothing likes to feel that way.
Yes, all animals seek alternative means of happiness after being rejected by the opposite sex. For example, humans who are rejected by members of the opposite sex often find solace in nature, or by consuming large amounts of alcohol or ice cream. Dogs may deal with this rejection by licking themselves.
All animals are capable of feeling emotions. All animals, even fruit flies, can be happy or sad depending on things that happen around them. Sex is a natural thing for animals to want. It's natural for the animal to try to find other ways to be happy when they are rejected by the opposite sex.
This is hilarious! Does all animal seek alternative means of happiness after being rejected by the opposite sex! From what i have observed from few animals i know, the reaction differs from one another. A cock will ignore and go back to its normal life, a bull will will try and forget by scratching the ground using its hooves while a dog will start a fight.