How I think each of the protagonists would react to rejection:

Reimu: Shock which quickly gives way to anger. She's so used to coasting through life, never really trying yet still succeeding, that the thought you might refuse her never crossed her mind. She would quickly go from frustrated to seething mad, insisting that you "obviously don't know what's best for you" and that she'll just have to "make you understand". She would start threatening you, which would then escalate into actual violence. In the end, she'll probably end up dragging you into the back of the shrine and raping you.

Marisa: For a second, her face would morph into a mask of pure anguish, but she'd quickly replace it with a strained smile. She'd probably try to deflate the tension by joking around about how "you probably like Reimu better anyway" or that "Men really do prefer them big, huh?" but would only make things more awkward. She'd say she hopes you two can keep being "best buds" and that this "doesn't end up making things weird between us or anything" with a tremble in her voice. She'd excuse herself, her head bowed so as not to make eye contact with you, and hurriedly leave. Of course, the moment she gets home, she'd start bawling her eyes out, babbling pitifully about how "it's not fair" or repeatedly yelling "why?". She would probably be crying herself to sleep every night for quite a while.

Sakuya: She'd cast her gaze downwards for a moment, and simply answer with "...I see.". She would apologize for "having shown you something unbecoming" and would quickly excuse herself by saying she has duties to attend to, seemingly already over it. If you were more observant, however, you might have noticed the slight lilt in her voice as she spoke, her refusal to meet your gaze, or the fact that her hands, tightly clutching the hem of her skirt, were shaking...

Youmu: "Wh-b-but-but-why, I, I, I don't under...stand..." she'd stammer out before collapsing to the ground and breaking down into inconsolable sobbing, babbling incoherently about how "this isn't how Yuyuko-sama said it would go" In her desperation, she'd start clinging to you pathetically, begging you not to leave her, saying that she "needs you" and that she'll "do anything if you'll just be by her side." Yuyuko would then intervene, apologizing on Youmu's behalf for the trouble, before kneeling down to console her, stroking her hair and whispering comforting words, and eventually taking her away.

Reisen: The sheer emotional turmoil of the moment would be enough to trigger her into having a panic attack, as she'd start sweating profusely and hyperventilating, her hands shaking wildly. Concerned, you'd immediately rush to her side, staying with her until it passed, comforting and reassuring her. Afterwards, she'd look at you meaningfully, as if she'd just made up her mind about something, before saying that "you're far too kind, even to someone like me" and that "there's absolutely no way I can hand you over to anyone else" before pouncing on you, bringing her face close to yours, forcing you to stare into those enchanting red eyes...

Sanae: "O-Oh...I, um,...I see." she'd say, fidgeting awkwardly, trying her absolute best to stay composed in front of you. She might mumble something about the "love" omikuji she had drawn earlier having assured her this would go well, twirling her hair around her finger. Eventually, though, her pasted-on smile would crack, tears starting to form at the corners of her eyes. "Oh-oh no...I,uh, I really didn't want you to see me like this, haha...I'm sorry, I must be making you really uncomfortable..." she'd say, between pained gasps and sobs. "It 's uh, it's kinda funny, but...t-this was the one miracle I most desperately wanted to come true, haha...". "U-um, I hope this doesn't dissuade you from visiting the shrine whenever you feel like it, though! I-*sniffle*- I'd still love to have you!" she'd say, trying to deceive you and herself with a patchwork facade of cheerfulness. "Um, I'll see you later, then!" she stammers out before running back into her shrine. Even from out here, though, you can hear her anguished sobs, echoing across the empty shrine grounds...