Told a lender I was going with a different lender. He then sends me an Adverse Action Notice

I was shopping around for the best lender and decided on 1 out of 2 possible lenders. I notified the lender that I wasn't going to move forward with that I was going with a different lender. Keep in mind at this point both lenders did a hard credit check on me at the same time.

However, the lender I did not go with just sent me a Statement of Denial or Adverse Action. Is this normal? I thought that all the lender would do is discontinue my application and close my account. A Google search did not seem to conclusively state whether or not this statement will go on my credit report or affect my credit score.