If you attempt to cross the Gauntlet (in either direction) and fail the die roll, do you suffer any penalties (beyond staying on your current side of the Gauntlet, obviously). Our Storyteller recalls a penalty in W:tF 1e, but we have not found any mention of one in the 2e rule book.
Crossing the Gauntlet ("Reaching") is described on pages 100-101 of W:tF 2e. There is no penalty specific to a failed attempt to reach.
Note, however, that successive attempts can impose a cumulative -1 penalty to the roll if "time is short and the situation is tense" (W:tF 2e, page 162).