"That's too bad" is a common phrase that you say when you hear about something that's a little disappointing. Use this in situations like:

• a friend says that they can't make it to an event
• someone doesn't win a competition
• something that a person wanted to buy is sold out

The disappointing event should be something that's not too serious. For more serious negative events, use a sentence like:

I'm so sorry to hear that.

That's horrible!

That sucks!*

(*This is a slang expression used mostly by young people talking to other young people)