Is there a "hook_user_login_failed" hook? Or something similar?
At least in Drupal 7, there is no hook for that.  The login form uses validators, one which authenticates, and another that follows and sets a form error if login failed.  

One option would be to add a custom validator to the form using hook_form_FORM_ID_alter, and check the status of login there.  See user_login_final_validate in user.module for an example of how status is checked.