It's just part of life.
If we choose to take the path to the left on a nature hike, then we can't also be taking the path to the right. Perhaps we could come back and do it later, but we can't do both at the same time--even if we REALLY want to. There are millions of opportunities that life, itself, (without any help from me) shows my kids that they can not always have what they want.
I can't imagine adding disappointment and curt comments to their little lives to drive that point home.
I just don't think it's necessary. In fact, I think the potential for harming the relationship is, over time, very real and sad.
Fulfilling a wish "in fantasy" is a wonderful GD method that many kids respond to. Primarily, I think, because it gets back to what this thread started on--the value of hearing the kid. Empathizing with people makes for more kindness. Dismissing people and their wants makes for more bitterness and anger. And empathizing about something does not necessarily include indulging it.