Is my story complete?

I got a surprise email yesterday. I wrote a short story, submitted it to a magazine, and got rejected. No surprise there, it happens to every writer. What was a surprise was the reason for the rejection. The reader of my story for that magazine wrote in her explanation that she liked the story but it was not complete.

I was sure it was complete. I'm still sure it's complete. I didn't try a cliffhanger or anything of the sort. I promised to deliver my heroine from point A to point B and I did. Of course, she has to figure out where to go from point B, but that's another story entirely.

Now I wonder: does it happen to other writers? Do you ever finish a book and think: it's not over, while the author thinks it is?  

Other thoughts bother me too. Should I try to submit my story to another magazine as is or should I 'complete' it first? What would constitute an ending everyone would agree upon? Should I even attempt it?

I'm puzzled.