Sorry, OP

Let yourself have today to be sad, and then remember that the next cycle is a fresh start.
Stay at it - our 3rd IUI worked. Also, I know several people who had success with IUI and all of them took a few cycles (a good friend had success on her 5th - she was ready to pull her hair out by then but now has a beautiful little girl). I'm not sure what your protocol for this cycle was and how many follicles you got, etc., but always do a regroup with your RE and ask what you can do next cycle to change things up a bit, especially if you want to get more follicles. This is also very much up to your RE and your individual situation, but the cycle that worked for us I used progesterone suppositories post IUI and I am convinced it was critical to our success.