The sparseness of the prose in 14.21 gives us no idea how Confucius reacted to the refusal of Duke Ai to accept his proposal. We can only speculate about his feelings as he departed from the audience.
While it is reasonable to assume that Confucius was frustrated and disappointed at his weak ruler for his unwillingness to act against the murderer of a fellow sovereign, a much more interesting question is whether this episode caused him to wonder if all the time and effort he had devoted to restoring traditional Zhou dynasty values had been wasted.
Confucius dedicated his whole life to following the right path. After studying the classics and ritual, he worked his way up from minor bookkeeping jobs with the Ji Family to become a well-respected minister in the Lu government. During his fourteen years of exile, he adhered to his values even though his steadfastness probably cost him the opportunity of getting a high-level job in the government of another state that would have enabled him to achieve his dream of restoring the Zhou dynasty to its former glories.
Although he was treated respectfully upon his return to Lu, Confucius had no power and little influence on the government of the state. Not that it would have mattered if he had, for Lu had already entered a spiral of terminal decline that would have been impossible for him to reverse even at the height of his powers.
The Zhou dynasty itself had also passed the point of no return, as endless wars between the various states that comprised it generated ever greater chaos and suffering. It would take the application a harsher philosophical doctrine from a state that was traditionally regarded as culturally inferior to the Zhou to bring all the shattered pieces of China together again in a very different political form.
Confucius was not to know this, of course, but it is hard to imagine that a man of his intellect and experience did not have an inkling that the days of not just the state of Lu, but the entire Zhou dynasty were numbered. As he headed home from his futile audience with his ruler, perhaps he wondered deep down how and why all his tireless work and dedication in following the right path had ended in such abject failure.