J.G.
You might want to try to talk to him about dealing with disappointment and emotions, but at a time when he isn't upset or disappointed. He might be taking this personally or he's embarrassed in some way. Talk to him about it when he's not currently feeling that emotion.
There isn't anything wrong with him stepping back or being a bit withdrawn for a few minutes. The problem is when you try to talk to him a little later.
Maybe you could talk to him about coming up with a signal that he could give you when he's ready. Or you could let him know (when he isn't upset) that you will give him some time to himself. Then you will give him a 5 minute heads up that you need to talk. "Bob, I know you need a minute now. I will be back in 5 minutes to talk to you." He might also need a 2 minute heads up. Whatever works. Just let him know that what he's feeling is normal, he's aloud to have some time to himself and there's nothing wrong with any of that. But he will need to talk to you at some point.
Good luck!