I once had a similar idea and I presented as a feature. Hours after I posted it, it was added in discourse. Half of my idea though was rejected. The reason why can be found here:
If you take a look at the topic above, you will understand, why there isn’t any message sent when rejecting a post. It’s like telling someone not to post in the community. That’s something a new user does not expect and should not receive such notifications. There must always be a reason when rejecting a post. Possibly because it does not fit the guidelines of each community or because it is a violation of the ToS. If that’s so, it’s more efficient if you privately message that user and explain to him the reason why their post was rejected and what they can improve, in order to continue posting in the community.
Having said that, if you think that you should explain why you have rejected their post, before rejecting it, copy it and paste it in the private message. Don’t forget that you have the ability to edit the post and then approve it. (That may happen if there is something that doesn’t need to be addressed privately, for instance.