They were probebly just worried about turnover.  You get hired, they train you in their ways and pay for everything only to see you leave when you find something different.  Interviews are tough because they can back you into a corner if you let them and then you might say something they don't like.

Your luckier than me as I have not even had one interview.

I live in cambridgeshire and will be hitting the job market in about 14 months time.  Part of me is looking forward to it as i'm getting to detest the job i'm in at the moment and a part of me is dreading it as i've been working for my current company for 20 years now.

You do need to network like buggery in the UK as only about 40% of the jobs get as far as being advertised over here. 
Try get to the 'trade shows' like infosec or BSides (both next week but BSides sold out this year) or any of the other security or it events so you can get yoru face seen and drop off a few business cards (with a potted resume or your key skills on the back)
Get yourself on linkedin, join the it and security groups and get know through those as well

Jamies, nah I am in the US.

I know how you guys feel. I just spent an hour and a half with a user that, no matter how many times I told him, insisted his cable modem gave him a virus.    

Hang in there. We're going through a tough economic period. And it doesn't help that not one politician in a thousand understands how the economy really works.

I agree with what Andrew said above in that it's a poor excuse. At least you received a response though. Typically what I see are emails that just say "we have decided to pursue other candidates that more closely match what we are looking for." Pretty generic and doesn't give you any insight.

But.. was there something you may have said in the interview about your ambitions/interests/etc. that may have been beyond what the company is looking for? Or anything else you may have said that would lead them to believe you're looking for a "stepping stone?"

If they pick up on stuff like that, they'll be much more quick to rule you out as a candidate. As mentioned by someone in one of the other posts, a company doesn't want to spend the time/money to train you if you're just going to turn around and take the next best deal. Same scenario if they're offering pay that's less than what you're looking for - they'll just assume that (even though you may have told them you'll take a pay-cut) there's a good chance you're going to jump ship to take a higher offer within a short amount of time.

Keep on chasing it though, certainly don't give up just because a few places have turned you away.