I'm sorry, it sucks to be rejected like that. I don't think this is atypical guy behavior -- a lot of men act very quickly on decisions they make. He decided that he didn't want to be there anymore and left abruptly. I've had people do that to me before. The next time you are in a group situation, watch how people make their exits - it's interesting.

I wouldn't get too worked up about this, if you can help it - you can apologize for asking repetitively the next time you see him and tell him that you didn't appreciate him just walking out like that, even if he was annoyed.