As a parent of a soccer player, I can tell that you want to help your son through this heartbroken time. First, I would have your son ask the coach why he was not selected. But, I would have him phrase it in a way that seemed that he wanted to improve his skills and not seem that he was questioning the coaches decisions, such as..."Coach, I know that you didn't select me, however, I wish to improve so I can be considered during your next season try outs. What do I need to do as an athlete that would help my chances? Also, can I practice with the team to stay in shape? Are there skill trainers you can recommend?"
Now if your son does not wish to approach this coach, I would as a parent ask the coach what your son can do to help with his development as a soccer player to improve and seem more skilled and able to join the team in the future. Hopefully, a coach will be honest, but also instructive and not mean spirited. Yet, there can be some people who may bluntly say things without realizing that behind every athlete is also a person who does not need his/her enthusiasm for sports squashed. I certainly would not get in a shouting match or try and reverse decisions. It is unfortunate that every year children are not selected to teams and face this type of sad rejection. Hopefully, they will persevere and perhaps take the time to make it a learning opportunity and a chance to possibly pursue other extra curricular activities.
Also, feel free to check out other teams that play within your region. Often there are recreational teams that are good for confidence building and not nearly as competitive as school or high level league teams.
I'm sorry your son wasn't chosen for the team this year. I don't think there's a specific "procedure" or set of rules that dictates how coaches have to handle this situation, but I agree with you that it would be great for your son to get some feedback about why he wasn't chosen so that he can work on those areas for next year.
It could be that the coach likes or needed some time after choosing the team to let the dust settle a little. If it's already been a few days, I'd just give him a call and explain that your son was really disappointed that he didn't make the team. Let the coach know that you're not trying to change his mind, but that you'd like to get as much information as possible about why he wasn't chosen so that he can work to improve those areas. Don't argue with what the coach says, that will only make things worse for your son, just listen and then when the time is right you can talk to your son.
In the mean time, it will be really important for your son to find another healthy way to spend his time and energy. Kids his age who are disappointed and bored are at risk for finding unproductive outlets. Maybe there's another sport he could try out for? Or a soccer club that's a bit less competitive than the school's soccer team? Maybe there's something outside of athletics that he'd like to do? Help him find some options and then try to be as supportive as you can as he chooses which to pursue.
He needs to hear from you that it's not the end of the world that he didn't make the team. That he can still have a fantastic year this year and that you love him as much as always.
I would try an alternative place such as the YMCA. These kids are NOT turned down. They build confidence and really take the kids esteem into consideration! Trust me I have a daughter who plays! As far as the school goes, I would convince your son it was probably the best thing anyway considering they missed out on one of the best players (him). Build him up not down!