I don't mind so much when they explain... it's just the ones that don't talk to me that hurt.
It's natural. Most people feel that way. It's one thing to be told you're doing it wrong, it's another to be shut out with a form letter.
In fact, Stack Exchange had a math-savvy intern run the numbers over the summer, and it turns out the best way to get a new user to leave and never come back is to... Not talk to them. Even for users whose first question was closed, if there was so much as a comment left, they had a better chance of showing up again than the ones who got crickets.
It's why we actually nag the moderators on our beta sites to leave comments on closed questions. Lots of folks show up here and get it wrong the first few times out... A bit of time spent explaining things can make all the difference.