Of course they feel "let down." The idiots who voted for Mittens were sucked into the "OMG, I saved the Olympics" lie (fomented by Mittens and his handlers, of course) and when he abandoned them to become governor of Massachusetts, they STILL didn't get it.
DefiantSix can talk toward this much better than I can, but I'd posit that most Utahns would prefer to take Mittens out to the curb with the rest of the trash.