Yes exactly. The rejection itself probably won't be an issue - and indeed as yfan pointed out they probably won't even be able to tell for sure that you were rejected - however, the reason
you got rejected certainly could be a problem depending on the employer.
It's tough to speculate exactly what a given employer is going to be looking for because of course that'll vary. However, one concern for high security/sensitive type jobs might be your overall debt profile - which would be shown in large part by your utilization on your credit report. The concern is that if you have a lot of debt, you may be in a 'desperate' situation and do something illegal or unethical or you may be vulnerable to blackmail/bribery. Alternatively, a history of delinquent payments and past dues could show irresponsibility and a generally lax attitude. Of course I'm not saying any of this true for you, just that those are possible justifications for an employer to check credit reports in the first place.
Also of course, a good/high score often (but of course not always) simply correlates to a responsible person who would make a good employee. Or indeed, perhaps as Vermonster said they simply want to verify your info. It'll vary a lot based on the employer.
So don't worry about the rejection itself, but maybe do worry about why it happened?
Anyway, best of luck with the job application/hunt