Is it wrong to ask for feedback?

When you get a job rejection (which are a plenty right now if you can even get an interview)do you ever want to flat out ask "So what did I do wrong?" Of course! However, there are usually more diplomatic ways of approaching this. Hiring Managers would much rather give you the blanket answer that you were not chosen and move on. However for me, I always feel I could learn from the process and want to know why I wasn't picked, mainly so I can either work on the skills I don't have or stop blaming myself when I find out it had nothing to do with my qualifications. Maybe the manager would say "well, you had great experience but we found someone who had more." Or, they could say "you really didn't match our qualifications, here's what we're looking for" That would be great! If Hiring Managers gave that kind of feedback, I feel that I'd be all the more knowledgeable to go into the next interview. So, what's the best way to approach this? Thoughts? Best of luck to all those out there looking....