Rejecting internship offer, does it look bad?

As my topic post says, I got an internship offer from the Fed Reserve bank in a major city. I really wanted to take the job, but I got a better offer in FA from a big four that I ultimately took over the Fed offer. Im going to politely email them declining their offer. But does this look bad for future applications? If I apply for an internship next year, would they most likely reject me? Im just curious because the experience looked so great but you can only do one internship per summer :/