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