In my opinion, yes, it's the professional thing to do. You may have to work with some of those contractors on other projects and a courtesy note saying that you thank them for their effort, but weren't successful, to be sent out as soon as possible after you've selected your contractor buys a lot of future consideration. The construction business is too adversarial sometimes, and if you let the other contractors know that you appreciated their effort, it at least acknowledges that you've given them a fair shot. Now if Clients could also treat us consulting engineers that way as well, maybe we'd see some better consideration from them too.