Don't worry about it! I failed many attempts with many airlines for sponsorship and did not get as far as you for that matter! You have done very well to get that far and it certainly says a lot about somebody!
Don't give up. It will happen if you want it badly enough, whichever route you have to go down - Sponsored or self sponsored?
To give you my example, I ended up going down the self sponsored modular route having had many rejections from the airlines. However I am now flying B737's for a big airline!
Good luck