Question about job searching...

I sent a thank-you note to one group with which I interviewed, and they sent back a note saying sorry, they've filled the position they wanted with someone else. Which was very disappointing, as that was the startup I really wanted to work with.

I sent back a response thanking the HR person for telling me, and added, "Could you tell me what, if anything, led you away from me as a candidate?"

Is that appropriate? Have I burned a bridge?