Why am I getting rejection in PhD admission after interview?
In late 2019, I had funding to employ a single PhD student at my European university. So I opened up a vacancy, and I received about 140 applications. By sheer necessity, I had to reject 139 candidates, and that included several very good ones indeed.
The main difference you're experiencing is that European Master programmes can accept scores* of students every year, but many European PhD positions are job vacancies that can only be awarded to a single person. So you're suddenly dealing with significantly more serious competition for the available positions. Rejection merely means that at least one candidate was even stronger than you.
*exact numbers depend on country, university, programme, but it's typically much much more than one student per programme.