Really sorry about your transfer - the same thing happened to me so I know how upsetting it is.
Sadly it's normal to have an unsuccessful first go and it doesn't mean it won't work for you next time.
The reasons why an embryo might fail to result in a pregnancy broadly fall into two categories - the chromosome and genetic make-up of the embryo plus the uterine environment.
I don't know how old you are, but by aged 35 on average only 50% of your embryos will be chromosomally normal. Even when they are normal, a transfer of a tested embryo will only result in a baby between 50-70% of the time.
For the uterine environment, things like endometriosis or a low level of progesterone at transfer can have an effect.
There are things you could look into for next time like:
An endometrial scratch in your previous cycle before transfer to help with implantation
Review progesterone level at transfer if measured, check vitamin D levels
A hysteroscopy to check for any abnormalities
PGS testing to identify chromosomally normal embryos from your four frozen
Improve your diet, review your vitamins - see a nutritionist if you want more structured advice
Start / continue acupuncture
To be honest though, your NHS clinic will probably recommend the best course of action is to keep transferring the embryos you have left, given that it's likely that one of your five will work. You did really well to get four to freeze.
If you don't want to start throwing money at it (PGS for example is expensive) then I'd suggest asking for a scratch, checking vitamin D and improving your diet if needed. You could also request at least a further scan if your clinic won't do a hysteroscopy.