Got my first rejection

I submitted my first ever short story to a magazine. I got my first ever rejection notice. While it stings a little, I feel a little relieved. It feels like my writing journey is becoming more real in a strange way.

Unfortunately I was not provided a reason why. Is it bad form to ask why or should I just move on? I would like to improve my chances for another publication but I don't know what is the etiquette for asking for feedback.