Chagrin is a noun that represents an emotion or feeling and it's an uncomfortable one. If you feel chagrin it means that you are embarrassed or distressed as a result of a failure.
The word chagrin, a noun, comes from the French word of the same spelling and means "melancholy, anxiety, vexation." An odd fact about the word in English is that it had been thought to be related to another, similar-sounding word, shagreen, "an untanned leather with a granular surface, prepared from the hide of a horse, shark, seal, etc." When one mistakes one word as a relative of another is called "false etymology."