Why do some people not take rejection as well as others?

I’m seeing this happening with a “friend couple” of mine who just split up. The one who was the “rejectee” is not taking it well – at all.

So, my question; why do some people have a hard time of dealing with/and letting go when they’ve been rejected, while for others, it doesn’t affect them as much and they have an easier time moving on? What does that say about them as a person/their personality?