Many stores will charge a up to a fairly hefty "restocking" fee. But the terms of sale should have been posted in the store or stated on the receipt. If the store won't work with you, your recourse is small claims court.
Do you know why you were denied? Was the DOJ correct. Sometimes, if you have a name that is similar to someone who is prohibited, you will be mistaken for him and denied. If that's the case with you, it might be in your best interest to appeal and get things straightened out.
"It is long been a principle of ours that one is no more armed because he has possession of a firearm than he is a musician because he owns a piano. There is no point in having a gun if you are not capable of using it skillfully." -- Jeff Cooper