No penalty for being denied, there may be a penalty if you use false information to attempt to buy a firearm.
I was denied once years ago, having never been charged with any crime I knew something was not right.
At the time, I was also receiving letters from the IRS stating that my SS number was being used by others.
I appealed the decision and it was corrected, I never got any explanation as to what the error was, just that it had been corrected.
NRA Lifetime Member Since 1999
"I ask, sir, what is the militia? It is the whole people except for a few public officials." George Mason