Do you mean they turned you down for a particular job? Or are they refusing to take you on as a client?
If you were not accepted for one particular job, there are many reasons why that could be, and sometimes the reasons aren't very concrete. You might write a polite letter thanking them for reviewing your application or CV, and state that you were disappointed at not being accepted. You are interested in working on building your career skills, and would appreciate it if they would elaborate on the reasons why you weren't accepted so that you can work on strengthening these weak points.