It happens from time to time.
Ask the seller to sell it to you at the price
before the bid war with the other bidder started
or to relist the item with the same initial price
as last time. I wouldn't recommend you to pay the
maximum that you arrived.

However, before arriving to conclusions about why
the other bidder didn't pay always try to find
another possible reason. It can happen that the
item was not described properly and that the other
bidder learnt about it after getting more details
from the seller after the end of the auction.

The "biggest one" that happened to me was on YJ
for a "supposed hanken cel" from Kimagure Orange
Road. The seller didn't give many details on the
auction and even said that he didn't know what
that cel was used for. The cel had an starting
price of 10000Y but at first i decided not to go
for it because i didn't have any way to confirm
the authenticity of the cel. However, when the
"regular" bidders for KOR cels started to bid and
raise the price i got more confidence and decided
to go for the cel as well...... And well, the
auction ended at about 220000Y and i lost. 2
bidders went higher than me.... And i was
surprised when one after the other the both of
them asked the seller to cancel the transaction. I
learned about this when the seller offered the cel
to me for 200000Y (my maximum bid) and of course i
rejected the offer, as i know the behaviour of
those 2 other bidders (they wouldn't ask to cancel
a transaction without a good reason). We all
thought that the seller would relist the item, and
he did..... but the funny thing is that he is
asking now 250000Y for it, and even has added a
comment about his "honesty being questioned". Who
knows, may be the cel is not a fake but i guess no
one is going to take the risk if the seller
doesn't provide more info.