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, "rough, untanned leather." When one mistakes one word as a relative of another, it's called "false etymology."