I took a creative writing course last semester and my prof said something that really struck me.
"You need to develop your appetite for criticism, in order to become a better writer."
Criticism is useful for two purposes: improving our writing and gaining confidence in our writing.
Improvement is the main reason for seeking out critique. We want someone to tell us what we could do better. We need an outside perspective to tell us where the piece could use some work, or where we're being too self-indulgent with the story.
The less overt reason is that we're looking for affirmation. We're looking for someone to tell us that we're not completely terrible and have potential. When we ask for critique, we don't always realize that we're asking for this too. So when we don't get any positive affirmation, a spoon full of sugar, if you will, with the criticism, we feel discouraged and end up avoiding future criticism like the plague.