And as a closer, it's important to learn to forget, real quick, especially on nights like Tuesday, when Rodney turned a 1-0 lead in the ninth into a 2-1 loss to Tampa Bay.
"The fans can get upset, they boo, I understand that," said Rodney. "They want us to win the game. They are mad when we don't."
It bugs Rodney, too, but he can't let it linger.
"I've got to be ready for the next one," he said.
This time, the next one can't come quick enough. This time, there is some extra baggage that comes along with the loss.
Rodney was asked to finish up the eight innings of brilliance that Hisashi Iwakuma produced. And what was his second blown save in 13 opportunities this year came against, of all teams, the Rays. Rodney spent the last two seasons with them, converting 85 saves, including 48 out of 50 in 2012.
If Rodney had his way, he would have been spending two more seasons with them. He would have been in the visiting dugout at Safeco Field, not the home side.
The Rays, however, balked when Rodney became a free agent. He had been a bargain for two years at a total of $4.25 million and wanted to parlay his success in Tampa Bay into a bigger payday. The Rays knew they were going to have to pony up, but they live on a tighter budget than any other team. That forces them to make tough decisions at times.
Rodney was one of those times.
"I think they are going to sign me back," he said. "They say I look for too much money. That's what they say. I don't know how to control that."
How much is too much?
Seattle was willing to give Rodney the $14 million over two years he said he would have accepted from Tampa Bay. The Rays, however, went another direction. Grant Balfour -- who had an initial free-agent deal with the Orioles fall through for physical reasons -- accepted a two-year, $12 million package, and lessened some of that financial demand by agreeing to have $2 million deferred each year.
Sometimes business trumps baseball in the decision-making process.
"It's the nature of the way this game works right now," Tampa Bay manager Joe Maddon admitted to the media prior to the series opener. "It's not all baseball decisions. A lot of it is business decisions, the way things slot or fit in. Sometimes you have to play that game."
Maddon had no problems with Rodney. But then Maddon's a bit of a free spirit himself, so he can appreciate Rodney's off-center hat and the imaginary arrow that Rodney shoots into the sky after closing out a victory.
Tuesday night, the arrow never got out of the quiver.
In his third start since coming off the disabled list, Iwakuma allowed four hits (three singles and a double) and struck out five. He, however, admitted that the 97 pitches had taken his toll. Iwakuma, after all, never pitched during the spring, and had only one rehab assignment in the Minors before being activated.
And, as Mariners manager Lloyd McClendon explained, "I've got one of the best closers in the game."
Not this time, though. And it wasn't merely that David DeJesus led off the top of the ninth with a game-tying home run.
"I missed location with that pitch," said Rodney.
Rodney came back from that with an impressive effort, striking out Evan Longoria and getting Ben Zobrist on a foul popup.
Rodney, however, never got the third out.
"This game is difficult to play," said Rodney.
Consecutive singles by James Loney, Desmond Jennings and Matt Joyce provided the Rays with what proved to be a winning run.
"Even when they get the hits, I think I'm going to get out before the [second] run," said Rodney.
Rodney, after all, knows all about working out of jams. If he doesn't inherit jams, he has shown a knack for creating them before he shuts the opposition down.
Think about it. Rodney has converted 11 of 13 saves this year after finishing off the 85 saves in 95 opportunities those two years with Tampa Bay. There are not, however, many 1-2-3 innings.
"Traffic is going to happen," said Rodney. "You make a good pitch and you get out of the inning."
Rodney has allowed 30 baserunners in 16 1/3 innings this year.
"He's a top-stepper," said McClendon. "We all know that. But you look at the numbers and he's pretty good. Same situation tomorrow and he'll be back out there."
Rodney couldn't have said it better himself.
Tracy Ringolsby is a columnist for MLB.com.
This story was not subject to the approval of Major League Baseball or its clubs.