Why didn't I get the job? What was I missing? What do I need to do for next time? These are all valid questions to ask the company you have been interviewing for.
There is nothing more difficult after being rejected for a job than to find the confidence to phone the interviewer and ask WHY? You were so excited, felt the interview went great, what happened? You were enthusiastic and really wanted to work for this company and this group. What happened? You won't ever find out if you don't pick up the phone and ask.
First thing you need to do is be honest with yourself.
Would you have taken the job if it was offered?
Were you as qualified as you thought?
Did you have as good an interview as you thought?
Was there anything you said, or did that might have produced a negative impact in the interview?
If you answered all of these positively then there is no harm in trying to get some feedback.
Did you get the interview through a recruiter or directly with the company? If you worked through a recruiter, than your first phone call is to him/her.
You have a much better chance of getting constructive feedback from your Recruiter. They are like your agent and there is nothing they want more than for you to get the position. The recruiter also wants to fill this job in the future so they want to know exactly what the company is looking for so they will be asking the company what my Candidate was missing.
Keep in mind that a Company isn't going to want to tell you or the recruiter much more than "your candidate didn't have enough experience in ....". The interviewers are employees of the organization and they owe a fiduciary duty to their employer. This means they will be very careful about what they say. The last thing they want to worry about is a lawsuit because they said something about your personality or age or sex.
Wait a few days if calling the Company directly.
Don't call right away, wait a few days. Call the interviewer you seemed to have the best rapport with. Re-introduce yourself, be positive.
I wanted to thank you personally for interviewing me.
I love your Company and was wondering what I could do to improve my chances for the next time.
Is there anything that I did that prevented me from getting the job?
Are there other positions coming up that would be more suited to my experience and skills?
If you want truthful constructive criticism, then you have to be willing to listen. And don't get defensive. The Interviewer doesn't want a confrontation and you aren't going to change their mind. Getting defensive will only reinforce the fact that they made the right decision and there go your chances for a future chance. Ask specific questions:
Were my answers too short?
Did I seem confident when I answered your questions?
Was I too relaxed or too stressed looking?
What could I do to come across more effectively in the future?
What was the one thing I did best?
What could I improve on?
If it was a skill or experience, then these are things you are going to have to improve with education or more time in a junior position. Cultivate a positive relationship with the Interviewer, let him/her know that you are going to work on their recommendations and would love a chance to keep in touch about future opportunities.
Do Mock-up Interviews
Ask your recruiter or a career coach, or at least a friend to take the interview questions and do a mock-up interview with you. Treat it like a real interview. You want to be relaxed in an interview but also hungry. Being too relaxed in an interview can come across as arrogant, being too hungry can come across as too aggressive. Finding that happy medium is very difficult, especially if it is a job you really want. If you were trying out for a hockey team you would be out there shooting pucks every day. So why not practice for an interview?
Look at the positive
You got an interview, maybe even a 2nd and 3rd. Wow - you know how many people applied for these positions. Your resume got you in the door., that's the hardest part. Take the constructive criticism and wow them the next time!